Diversification gains from American depositary receipts and foreign equities: evidence from Australian stocks

Alaganar, V.T.; Bhar, Ramaprasad

doi:10.1016/s1042-4431(00)00038-x

Cited by 45 publications

(19 citation statements)

References 16 publications

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“…More over, Bacidore and Sofianos [4] confirm that the price discovery was determined in their home country. The similar results are also documented by Alaganar and Bhar [5], they examine the Australian ADRs, and find that the ADRs have a low correlation with the U.S. stock returns, offering diversification benefits. On the other hand, using data of 123 ADRs listed in 16 countries and employing the seemingly unrelated regression (SUR) approach, Patro [6] reports significant exposure of the ADRs returns to their respective home market portfolios, and the movements in the world market portfolio are found to be a significant determinant of the ADRs' returns.…”

Section: Literature Reviewsupporting

confidence: 82%

Price Discovery Study of Chinese ADRs on Global Markets

Luo¹,

Changxian²

2018

JFE

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This paper analyzes the price discovery mechanism between the Chinese American Depository Receipts (ADRs) listed on the New York Stock Exchange (NYSE) and their underlying H shares on the Hong Kong Stock Exchange (HKEX). It employs the Permanent-Transitory decomposition in vector autoregression (VAR) model, and finds that the New York stock market makes the principal contribution to the price discovery, and the proportion of contribution is 84.84%; while the Hong Kong market makes only subsidiary contribution of 15.16%. In addition, it confirms the existence of the long-term cointegration relationship between ADRs and H shares, which implies that portfolio diversification among Chinese ADRs is consistent with Global Center Hypothesis and efficient for international investors.

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Section: Literature Reviewsupporting

confidence: 82%

Price Discovery Study of Chinese ADRs on Global Markets

Luo¹,

Changxian²

2018

JFE

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“…In fact, empirical evidence derived from either Australian or New Zealand data is sparse. An exception is Alaganar and Bhar (2001), who study the diversification benefits available from Australian stocks that are also traded on the US market (as ADRs). Specifically, the authors investigate the flow of information between the two markets.…”

Section: Introductionmentioning

confidence: 99%

The intraday price behaviour of Australian and New Zealand cross-listed stocks

Lok¹,

Kalev²

2006

International Review of Financial Analysis

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“…Fatemi and Park (1996) and Park (1995) investigate the dynamic relations between Japanese ADRs and the underlying securities, and they also find that Japanese ADR returns are generally affected by the US stock market. Nevertheless, Alaganar and Bhar (2001) analyze the Australian ADRs listed in the US market, and they find that the Australian ADR returns are less correlated with the US stock market returns, providing the diversification benefits to the US investors. They also document the unidirectional information flow from the underlying Australian stocks to the ADRs.…”

Section: The Impact Of International Listingsmentioning

confidence: 99%

Risk-Return Dynamics of Cross-listed Stocks

Yang

2017

AFR

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Since US has been playing a leading role in global economy and technology, any major price changes in the American stock market may affect other stock markets worldwide. The American Depositary Receipts (ADRs), being the substitutes for the foreign securities, provide American investors with appealing investment opportunities to form international portfolios and to achieve the international diversification benefits. These stocks cross-listed on different exchanges not only assist corporations in raising capital abroad, but also provide a better channel for firms to search for price efficiency across the international capital markets. Consequently, the objective of this study is to examine the risk and return dynamics between ADRs and their underlying securities. The empirical results of this study indicate that the mean and volatility spillover effects and information transmission between ADRs and their underlying securities are bi-directional for the Taiwanese securities, but uni-directional (from the underlying securities to their ADRs) for the Chinese securities. Furthermore, while the international center hypothesis and the home bias hypothesis are both supported for the Taiwanese securities cross-listed in US stock markets, this study also provides evidence more in favor of the home bias hypothesis for the Chinese ADRs and their underlying securities.

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Diversification gains from American depositary receipts and foreign equities: evidence from Australian stocks

Cited by 45 publications

References 16 publications

Price Discovery Study of Chinese ADRs on Global Markets

Price Discovery Study of Chinese ADRs on Global Markets

The intraday price behaviour of Australian and New Zealand cross-listed stocks

Risk-Return Dynamics of Cross-listed Stocks

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