| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5089889 | Journal of Banking & Finance | 2011 | 11 Pages |
Abstract
We model and estimate ADRs' home market pass-through and pricing-to-market using a regime-switching approach, which nests the two regimes in a conditional capital asset pricing model and treats any changes in these two regimes probabilistically. Our results from the 1998 to 2006 data show that the pricing-to-market regime dominates ADRs from China and Japan, whereas the home market pass-through regime dominates ADRs from Argentina and Germany when their respective home markets are volatile.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Hui He, Jiawen Yang,