Price Transmission Effect between GDRs and Their Underlying Stocks--Evidence from Taiwan

In this paper we examine the price transmission effect between ADRs or GDRs and their respective underlying stocks. This linkage is investigated for Granger causality using difference form and VECM. Results reveal unidirectional causality from Taiwan's capital market to the foreign market. This...

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Veröffentlicht in:	Review of quantitative finance and accounting 2002-09, Vol.19 (2), p.181-214
Hauptverfasser:	Chen, Shen-Yuan, Chou, Li-Chuan, Yang, Chau-Chen
Format:	Artikel
Sprache:	eng
Schlagworte:	Accounting American Depositary Receipts American dollar Arbitrage Capital costs Capital market Capital markets Causality Cement Domestic markets Economic models Effects Finance Foreign markets Global depositary receipts Institutional investments International finance Investors New stock market listings OEM Prices Stock exchanges Stocks Studies Taiwan
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