International diversification with American Depository Receipts (ADRs)

被引：14
|
作者：
Kabir, M. Humayun [1 ]
Hassan, M. Kabir [2 ]
Maroney, Neal [2 ]
机构：
[1] Massey Univ, Dept Econ & Finance, Palmerston North, New Zealand
[2] Univ New Orleans, Dept Econ & Finance, New Orleans, LA 70148 USA
来源：
PACIFIC-BASIN FINANCE JOURNAL | 2011年 / 19卷 / 01期
关键词：
ADRs; International diversification; Asset pricing; Wavelet analysis; INTEGRATION; RETURNS; GAINS; RISK;
D O I：
10.1016/j.pacfin.2010.09.003
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The objective of the paper is to analyze whether U.S. investors can achieve diversification benefits from American Depository Receipts (ADRs) beyond what is achievable through investing directly in country indices. Our findings show substitutability between ADRs and country indices in developed region in the late 1990s. whereas the investors need to invest both ADRs and country indices in Latin America and only ADRs in Asian region in recent periods. However, large numbers of ADR issuing countries irrespective of regions show such substitutability between ADRs and country indices. The findings are both statistically and economically significant. We also find time variation in diversification benefits across countries. (C) 2010 Elsevier B.V. All rights reserved.
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页码：98 / 114
页数：17
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