ADRs and U.S. Market Sentiment

Jungwon Suh

41 citations0/0 files storedThe Journal of Investing

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Financial Markets and Investment Strategies Corporate Finance and Governance Financial Risk and Volatility Modeling

Abstract

ADR share prices tend to deviate from their parity values under foreign ownership restrictions and other capital barriers. Time series of ADR premiums or discounts under such capital barriers provide an opportunity to examine the existence of a U.S. specific factor or U.S. investor sentiment. This paper studies a sample of ADRs from emerging countries and finds that ADR premium changes tend to comove with the aggregate U.S. market returns. This result suggests the existence of a U.S. specific factor or U.S. investor sentiment, echoing Bodurtha, Kim and Lee's result in their study of closed-end country fund premiums.

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References

1999How are stock prices affected by the location of trade?1995Closed-end Country Funds and U.S. Market Sentiment

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