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Price transmission dynamics between ADRs and their underlying foreign securities
13 references·16 citing·42 second hop
Price transmission dynamics between ADRs and their underlying foreign securities (2000)Price transmission dynamics between ADRs …Trading costs and the relative rates of price discovery in stock, futures, and option markets (1996)Trading costs and the relativ…The January Anomaly: Effects of Low Share Price, Transaction Costs, and Bid-Ask Bias (1992)The January Anomaly: Effects …Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK (1992)Testing structural hypotheses…Common stochastic trends in international stock markets (1992)Common stochastic trends in i…Testing the Unbiased Forward Rate Hypothesis: Evidence on Unit Roots, Co- Integration, and Stochastic Coefficients (1991)Testing the Unbiased Forward …Evolution in dynamic linkages across daily national stock indexes (1991)Evolution in dynamic linkages…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…International Transmission of Stock Market Movements (1989)International Transmission of…The International Crash of October 1987 (1988)The International Crash of Oc…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Some New Filter Rule Tests: Methods and Results (1988)Some New Filter Rule Tests: M…The Relationship Between Equity Indices on World Exchanges (1979)The Relationship Between Equi…Internationally Diversified Portfolios: Welfare Gains and Capital Flows (1968)Internationally Diversified P…Cross-listing and price efficiency: An institutional explanation (2022)Cross-listing and price effic…Do natural disasters and geopolitical risks matter for cross-border country exchange-traded fund returns? (2019)Do natural disasters and geop…Do ADR investors herd?: Evidence from advanced and emerging markets (2013)Do ADR investors herd?: Evide…How smooth is price discovery? Evidence from cross-listed stock trading (2012)How smooth is price discovery…Does information vault Niagara Falls? Cross-listed trading in New York and Toronto (2012)Does information vault Niagar…China's Monetary Challenges: Past Experiences and Future Prospects (2012)China's Monetary Challenges: …Related securities and price discovery: Evidence from NYSE-listed Non-U.S. stocks (2010)Related securities and price …Price Discovery for Segmented US‐Listed Chinese Stocks: Location or Market Quality? (2009)Price Discovery for Segmented…Capital Gains Taxes, Pricing Spreads, and Arbitrage: Evidence from Cross-Listed Firms in the U.S. (2009)Capital Gains Taxes, Pricing …US ADR and Hong Kong H-share discounts of Shanghai-listed firms (2008)US ADR and Hong Kong H-share …Where does price discovery occur for stocks traded in multiple markets? Evidence from Hong Kong and London (2006)Where does price discovery oc…Volatility Spillovers and Contagion During the Asian Crisis: Evidence from Six Southeast Asian Stock Markets (2006)Volatility Spillovers and Con…Determinants of returns and volatility of Chinese ADRs at NYSE (2005)Determinants of returns and v…Quantitative Implication of A Debt-Deflation Theory of Sudden Stops and Asset Prices (2004)Quantitative Implication of A…Returns on ADRs and arbitrage in emerging markets (2003)Returns on ADRs and arbitrage…Cross-Border Trading as a Mechanism for Capital Flight: ADRs and the Argentine Crisis (2002)Cross-Border Trading as a Mec…Portfolio Selection: Efficient Diversification of Investments (1959)Does industrial structure explain the benefits of international diversification? (1994)International comovement of stock market returns: A wavelet analysis (2009)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)DETERMINATION OF COINTEGRATION RANK IN THE PRESENCE OF A LINEAR TREND (1992)Tourism as a long-run economic growth factor: the Spanish case (2002)Estimating betas from nonsynchronous data (1977)Misspecification of capital asset pricing (1981)Size-related anomalies and stock return seasonality (1983)Institutions and Individuals at the Turn-of-the-Year (1997)Why is the Accrual Anomaly not Arbitraged Away? 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Evidence based on Asian emerging stock markets (1999)Long and short term dynamic causal transmission amongst international stock markets (2001)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Macroeconomics and Reality (1980)A New Approach to Measuring Financial Contagion (2003)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Causality in temporal systems (1977)Comparing alternative tests of causality in temporal systems (1983)Critical market crashes (2003)The big, bad wolf and the rational market: portfolio insurance, the 1987 crash and the performativity of economics (2004)Exchange trading rules and stock market liquidity☆ (2010)
this work references cited by second hop

References

  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1992Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK1,659 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 1968Internationally Diversified Portfolios: Welfare Gains and Capital Flows1,025 cited
  • 1992Common stochastic trends in international stock markets944 cited
  • 1996Trading costs and the relative rates of price discovery in stock, futures, and option markets424 cited
  • 1988The International Crash of October 1987394 cited
  • 1979The Relationship Between Equity Indices on World Exchanges339 cited
  • 1992The January Anomaly: Effects of Low Share Price, Transaction Costs, and Bid-Ask Bias328 cited
  • 1991Evolution in dynamic linkages across daily national stock indexes286 cited
  • 1988Some New Filter Rule Tests: Methods and Results240 cited
  • 1991Testing the Unbiased Forward Rate Hypothesis: Evidence on Unit Roots, Co- Integration, and Stochastic Coefficients160 cited

Cited by

  • 2008US ADR and Hong Kong H-share discounts of Shanghai-listed firms121 cited

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  • 2006Volatility Spillovers and Contagion During the Asian Crisis: Evidence from Six Southeast Asian Stock Markets85 cited
  • 2019Do natural disasters and geopolitical risks matter for cross-border country exchange-traded fund returns?59 cited
  • 2010Related securities and price discovery: Evidence from NYSE-listed Non-U.S. stocks57 cited
  • 2003Returns on ADRs and arbitrage in emerging markets57 cited
  • 2012China's Monetary Challenges: Past Experiences and Future Prospects49 cited
  • 2002Cross-Border Trading as a Mechanism for Capital Flight: ADRs and the Argentine Crisis49 cited
  • 2006Where does price discovery occur for stocks traded in multiple markets? Evidence from Hong Kong and London47 cited
  • 2009Capital Gains Taxes, Pricing Spreads, and Arbitrage: Evidence from Cross-Listed Firms in the U.S.44 cited
  • 2005Determinants of returns and volatility of Chinese ADRs at NYSE43 cited
  • 2013Do ADR investors herd?: Evidence from advanced and emerging markets42 cited
  • 2012How smooth is price discovery? Evidence from cross-listed stock trading38 cited
  • 2009Price Discovery for Segmented US‐Listed Chinese Stocks: Location or Market Quality?37 cited
  • 2012Does information vault Niagara Falls? Cross-listed trading in New York and Toronto37 cited
  • 2004Quantitative Implication of A Debt-Deflation Theory of Sudden Stops and Asset Prices36 cited
  • 2022Cross-listing and price efficiency: An institutional explanation34 cited