Although almost eight years have passed since the terrorist attacks of September 11, 2001, researchers continue to investigate the consequences of this far-reaching event in a variety of scientific disciplines and subject areas. In economic research, a number of more recent publications have...

The paper applies the two-stage GJR-GARCH model to investigate the intra-day return and volatility transmission behavior between ADRs and their underlying stocks using data from Japan, Taiwan, Korea, Hong Kong, and Singapore. Empirical results show that the return transmission of ADRs and their...