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

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.

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Year of publication:	2005
Authors:	Chung, Huimin ; Ho, Tsung-Wu ; Wei, Ling-Ju
Published in:	Applied Economics. - Taylor & Francis Journals, ISSN 0003-6846. - Vol. 37.2005, 20, p. 2387-2394
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005463213