콘텐츠 바로가기
로그인
컨텐츠

Category Open

Resources

tutorial

Collection of research papers and materials on development issues

home

Resources
Economy Economic System
Economy Direct Investment

Print

Price and volatility transmission between ADRs and their underlying stocks : Evidence from the Korean case

Related Document
Frame of Image
  • Price and volatility transmission between ADRs and their underlying stocks
  • Kang, Sang Hoon; Yoon, Seong-Min
  • The Association of Korean Economic Studies


link
Title Price and volatility transmission between ADRs and their underlying stocks
Similar Titles
Sub Title

Evidence from the Korean case

Material Type Articles
Author(English)

Kang, Sang Hoon; Yoon, Seong-Min

Publisher

[Seoul, South Korea]:The Association of Korean Economic Studies

Date 2011-04
Journal Title; Vol./Issue Korea and the World Economy:vol. 12(no. 1)
Pages 18
Subject Country South Korea(Asia and Pacific)
Language English
File Type Link
Subject Economy < Economic System
Economy < Direct Investment
Holding SSRN

Abstract

This study investigates the spillover effect of price returns and volatility between ADRs and their underlying Korean stocks, employing a Granger causality test and a bivariate GARCH model. First, the empirical results of Granger causality test suggest bi-directional transmission of price returns between the ADRs and their underlying stocks. Second, the empirical results from the estimations of bivariate GARCH model indicate that volatility spillover effect exists between the ADRs and underlying stocks. In addition, due to the small and illiquid Korean ADR market, it is evidenced that direction of volatility spillover effect from the home market to the ADR market, but the evidence is very weak.