Industry co-movements of American depository receipts: Evidences from the copula approaches

Chang, Chi-Hung; Chen, Mei‐Ping

doi:10.1016/j.econmod.2014.12.039

Cited by 7 publications

(7 citation statements)

References 81 publications

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“…The empirical findings showed that stock prices would increase more when investors became more bullish. Lee et al (2015) identified that returns of American depository receipts were more significantly linked with the industry returns of parent country than those of the USA, supporting the hypothesis that the American depository receipts industry co-movement was regionalized. Basher et al (2014) used copulas to model the dependence structure across Gulf Arab Stock Markets.…”

Section: Literature Reviewsupporting

confidence: 55%

A study of correlation between investor sentiment and stock market based on Copula model

Yao

Sun

Lin

2017

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Purpose This paper aims to capture tail dependence between sentiment index and Shanghai composite index (SCI) by proposing a sentiment index based on text mining. Design/methodology/approach Online text mining and the Copula model were used in this study. Findings First, the paper finds herding effect in the expression of investors’ sentiment from online text data, and the usage occurrence frequency of most vocabulary is less correlative with SCI. Second, given these two features, the paper uses weighted divide-and-conquer algorithm to construct a sentiment index. Finally, because of multivariate non-Gaussian joint distribution between them, the paper uses the Copula model to detect their tail dependences, and finds that both upper and lower tail dependences could have a significant influence between positive sentiment and SCI, with a higher probability on the upper one. Additionally, only the upper tail dependence exhibits the significant influence between negative sentiment and SCI. Originality/value This paper proposes a framework of constructing investment sentiment index with the weighted conquer-and-divide algorithm, and characterizes tail dependence between sentiment index and SCI. The implication can measure the environment of investment market of China and provide an empirical ground for bandwagon effect and bargain shopper effect.

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Section: Literature Reviewsupporting

confidence: 55%

A study of correlation between investor sentiment and stock market based on Copula model

Yao

Sun

Lin

2017

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“…Other studies justify the impact of industry features such as merger activity (Baker & Savasoglu, 2002;Moeller, Schlingemann, & Stulz, 2005), overseas subsidiaries (Dhawan, 1997;Owhoso, Gleason, Mathur, & Malgwi, 2002), and specific industries (Doidge, Karolyi, & Stulze, 2006;Espinoza & Kwon, 2009;Moerman, 2008) (Hales & Mollick, 2014;Karolyi, 2004;Lee, Chang, & Chen, 2015). The aforementioned literature provides a solid foundation to probe more inclusive features of firms that may influence the phenomenon of international financial integration.…”

Section: Literature Reviewmentioning

confidence: 99%

“…size, and history. These hypotheses are derived from previous studies, such as Lee et al (2015), Hales and Mollick (2014), and Karolyi (2004), and are listed below:…”

Section: Adr Characteristicsmentioning

confidence: 99%

Assessing international financial integration: do industry and firm-specific characteristics matter? Evidence from the Japanese market

Chen

Chung

Lin

2018

Economic Research-Ekonomska Istraživanja

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International financial integration has received much attention among professional investors. The purpose of this study is to investigate the relationship between financial integration and industry and firmspecific characteristics through analysing cross-listing premiums (determined by the price difference between American Depositary Receipts (A.D.R.s) and their underlining stocks) in Japan. Employing autoregressive models to examine convergence speeds of a shock to the price difference and non-linear Band-threshold autoregressive models to identify non-arbitrage bands, we find that firms integrate well when they are larger in size, sales growth, turnover, performance, institutional holdings, or marked by merger activity, overseas subsidiaries, industrial or consumer goods industries, and a longer history of A.D.R. listing. That is, the A.D.R. with the abovementioned characteristics tends to have less scope for arbitrage. However, crossmarket premiums for firms which have large shareholders and a larger extent of earnings management converge more slowly and have longer half-lives, implying more arbitrage opportunities exist. The explanatory variables applied explain over 35% of variance of premium, and most of the variables remain significant determinants of half-lives whether autoregressive or threshold autoregressive modules are used, but firm leverage is not. The results show that the metals and mining industry converges notably slower than other industries, indicating arbitrage is possible.

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“…Moreover, Righi and Ceretta (2013), Nguyen et al (2013), Chen et al (2014), Ghorbel and Trabelsi (2014), Lee et al (2015) and Yang et al (2015) also use copula methods but these studies limited to single and bivariate copulas only. Just recently, Mensi et al (2015) examines whether the Shariacompliant stocks measured by Dow Jones Islamic World Emerging Markets (DJIWEM) index, gold and the US Treasury bills (T-bills) can serve as a safe-haven asset using GCC stock markets.…”

Section: Literature Reviewmentioning

confidence: 99%

Gold price and stock markets nexus under mixed-copulas

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Industry co-movements of American depository receipts: Evidences from the copula approaches

Cited by 7 publications

References 81 publications

A study of correlation between investor sentiment and stock market based on Copula model

A study of correlation between investor sentiment and stock market based on Copula model

Assessing international financial integration: do industry and firm-specific characteristics matter? Evidence from the Japanese market

Gold price and stock markets nexus under mixed-copulas

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