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Price transmission dynamics between ADRs and their underlying foreign securities · Study

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ArticlePrice transmission dynamics between ADRs and their underlying foreign securities

Minho Kim2000

Article2000

Price transmission dynamics between ADRs and their underlying foreign securities

Minho Kim · Andrew C. Szakmary · Ike Mathur

161 citations·0/0 files stored·Journal of Banking & Finance

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Market Dynamics and Volatility

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References

1988Statistical analysis of cointegration vectors 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1992Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK 1989International Transmission of Stock Market Movements 1968Internationally Diversified Portfolios: Welfare Gains and Capital Flows 1992Common stochastic trends in international stock markets 1996Trading costs and the relative rates of price discovery in stock, futures, and option markets 1988The International Crash of October 1987

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2008US ADR and Hong Kong H-share discounts of Shanghai-listed firms 2006Volatility Spillovers and Contagion During the Asian Crisis: Evidence from Six Southeast Asian Stock Markets 2019Do natural disasters and geopolitical risks matter for cross-border country exchange-traded fund returns?2010Related securities and price discovery: Evidence from NYSE-listed Non-U.S. stocks 2003Returns on ADRs and arbitrage in emerging markets

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Year2000

Typearticle

Published2000-08-01

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations161

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/s0378-4266(99)00076-x

openalex_workW1963533419

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