Abstract
ABSTRACT This paper explores the Indian ADRs that trade at a premium. The premiums, on average, have been significant during the sample period. Therefore, this paper examines whether the ADR premium is related to small trades. The findings suggest that small trade order imbalance, a proxy for small trades, significantly and positively influences the premiums. Small buy order imbalance continues to be associated with more significant Indian ADR premiums. The results hold on to the alternative set of premium and order imbalance. Consistent with the prior study, the ADR premium has a positive and significant relationship with S&P 500 and a negative association with VIX. However, currency risk and changes in liquidity cannot explain the ADR premiums. Keywords American Depositary Receipts (ADR), Premium, Small Trades, Order Imbalance
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