Abstract
This paper examines the role of the world market, the home market, and exchange rate factors in the conditional pricing of a sample of 80 American Depository Receipts (ADRs) from 11 developed markets. Estimations based on a Multivariate GARCH in mean (MGARCH-M) model find that changes over time have led to the market for ADRs to become more integrated with the world market, though there is still substantial evidence of segmentation. The findings suggest that US investors in ADRs as a class are exposed to all three forms of risk. Some ADRs exhibit pricing of at least one risk factor and sometimes all three factors.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
