The Market Impact of Cross-Listing: The Case of Brazilian ADRs

Leal, Ricardo Pereira Câmara; Costa, Newton C. A. da; Lemme, Celso Funcia; Lambranho, Paloma P. L.

doi:10.2139/ssrn.86594

Cited by 7 publications

(2 citation statements)

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“…Finally, if Chow and Denning's (1993) test is used it can be seen that the RWH is not rejected in all cases. Leal et al (1998) examined the impact of the listing of ADRs on the risk and return of underlying Brazilian stocks and found evidence of a reduction in the volatility of the underlying stocks after the beginning of the ADR trading.…”

Section: Resultsmentioning

confidence: 99%

The random walk hypothesis and the behaviour of foreign capital portfolio flows: the Brazilian stock market case

Tabak¹

2003

Applied Financial Economics

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In this paper the random walk hypothesis is tested for a set of daily Brazilian stock data given by the Sao Paulo Stock Exchange Index (IBOVESPA) in the period of 1986-1998. A rolling variance ratio test for different investment horizons was conducted, and it is concluded that prior to 1994 the random walk hypothesis is rejected but after that it cannot be rejected. Institutionally maturing markets, increasing liquidity and the openness of Brazilian markets for international capital can explain this increase of efficiency of the Brazilian stock market. An error-correction model is used to explain the relationship between the IBOVESPA and foreign portfolio inflows. Evidence suggests that the release of foreign capital control is one of the main determinants of increased efficiency in the Brazilian equity market.

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Section: Resultsmentioning

confidence: 99%

The random walk hypothesis and the behaviour of foreign capital portfolio flows: the Brazilian stock market case

Tabak¹

2003

Applied Financial Economics

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“…As pesquisas envolvendo este tópico em mercados emergentes são menos numerosas, especialmente no que tange ao Brasil. Poucas exceções podem ser apresentadas por meio dos trabalhos deMATSUMOTO (1995),HARGIS (1997),SPERS (1997),LEAL (1998), COSTA Jr. et al (1998 e RODRIGUES (1998) -todos devidamente apresentados e discutidos ao longo deste estudo.…”

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Globalização financeira, eficiência informacional e custo de capital: uma análise das emissões de ADRs brasileiros no período 1992-2001.

Bruni¹

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Market Segmentation and Stock Return Behavior in Domestic and ADR Markets: Evidence from Some Emerging Countries

Alberton

Marcon²,

Mello

et al. 2001

SSRN Journal

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The Market Impact of Cross-Listing: The Case of Brazilian ADRs

Cited by 7 publications

References 13 publications

The random walk hypothesis and the behaviour of foreign capital portfolio flows: the Brazilian stock market case

The random walk hypothesis and the behaviour of foreign capital portfolio flows: the Brazilian stock market case

Globalização financeira, eficiência informacional e custo de capital: uma análise das emissões de ADRs brasileiros no período 1992-2001.

Market Segmentation and Stock Return Behavior in Domestic and ADR Markets: Evidence from Some Emerging Countries

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