Abstract
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.
Original language | English |
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Pages (from-to) | 2387-2394 |
Number of pages | 8 |
Journal | Applied Economics |
Volume | 37 |
Issue number | 20 |
DOIs | |
Publication status | Published - 2005 Nov 10 |
Externally published | Yes |
ASJC Scopus subject areas
- Economics and Econometrics