Price transmission dynamics between ADRs and their underlying foreign securities

By Minho Kim, Andrew C. Szakmary, I. Mathur. 2000

158 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/202e21f83c74a2dffba000034cc7a0d7f05df4ed

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Christian Schlag
2. Joachim Grammig
3. Michael Melvin
4. Angelo Ranaldo
5. Maria Pacurar

In Finance

1. Christian Schlag
2. Joachim Grammig
3. Michael Melvin
4. Maria Pacurar
5. Angelo Ranaldo
6. Robert O. Michaud
7. Richard O. Michaud

Citations in the corpus

• Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects (2005, methodology): “For instance, Kim et al. (2000) use daily data on 21 Japanese, 21 British, 5 Dutch, 5 Swedish, and 4 Australian firms to estimate VAR models of the impact of the underlying shares, the New York afternoon exchange rate, and the US market index on ADR prices.”