Abstract
In this paper I study the price relationships between Russian Depositary Receipts (DRs) and the underlying Russian equities as well as the changes in trading volume of these DRs in different markets over time. This study uses daily and weekly closing prices and volumes and covers the time period from 1995 to 2004. The results indicate that unlike many other emerging markets, there is no premium/discount between the Russian DRs and the underlying stocks. The theory whether the trading takes place in markets where the cross-listed stock returns are highly correlated with the returns of local equity returns is also tested in this paper. The results of these tests show very little evidence that the local markets where the DRs are listed have any significant effect on Russian DR returns.
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