کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5053789 | 1476522 | 2015 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Industry co-movements of American depository receipts: Evidences from the copula approaches
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This paper applies the distinct copula model specifications with time-invariant and time-varying dependence structures to investigate whether American depository receipts (ADRs) co-move more with the industry indexes of home country or the U.S. The evidence shows that ADR returns are more significantly linked with the industry returns of parent country than those of the U.S., supporting the hypothesis that the ADR industry co-movement is regionalized. Next, using the co-movement measures as dependent variables, we explore whether the ADR factors influence the industry co-movement. ADR fundamental and financial factors are the key variables that influence ADR industry co-movements with the U.S. and home country. As for ADR ownership factors, only mutual fund and invest adviser holdings influence ADR industry co-movement with home country.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Modelling - Volume 46, April 2015, Pages 301-314
Journal: Economic Modelling - Volume 46, April 2015, Pages 301-314
نویسندگان
Chien-Chiang Lee, Chi-Hung Chang, Mei-Ping Chen,