Chen, Mei-ping; Lee, Chien-Chiang; Hsu, Yi-Chung - In: Economic Modelling 28 (2011) 1-2, pp. 526-539
This paper explores whether American Depositary Receipts (ADRs) affect the underlying local index (LD) for Japanese market, and such a phenomenon is considered as an adverse influence. Nonlinear Granger causality and Bayesian factor analysis are employed to investigate the nonlinear relationship...
