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

研究成果: Article同行評審

12 引文 斯高帕斯(Scopus)

摘要

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.

原文English
頁(從 - 到)2387-2394
頁數8
期刊Applied Economics
37
發行號20
DOIs
出版狀態Published - 10 十一月 2005

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