The dynamic relationship between the prices of ADRs and their underlying stocks: Evidence from the threshold vector error correction model

Huimin Chung*, Tsung Wu Ho, Ling Ju Wei

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

12 Scopus citations

Abstract

This paper sets out to estimate the dynamic relationship that exists between the prices of ADRs and their underlying stocks, in both the short run and the long run, using a number of recent developments of the threshold cointegration framework. The empirical results support the notion of nonlinear mean reversion of the prices of ADRs and their underlying stocks.

Original languageEnglish
Pages (from-to)2387-2394
Number of pages8
JournalApplied Economics
Volume37
Issue number20
DOIs
StatePublished - 10 Nov 2005

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