Browsing by Author "Wei, LJ"

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The dynamic relationship between the prices of ADRs and their underlying stocks: evidence from the threshold vector error correction model
(2005-11-10)
Chung, HM
;
Ho, TW
;
Wei, LJ
;
管理科學系
;
資訊管理與財務金融系註：原資管所+財金所
This paper sets out to estimate the dynamic relationship that exists between the prices of ADRs and their underlying stocks, in both the short run and the long run, using a number of recent developments of the threshold cointegration framework. The empirical results support the notion of nonlinear mean reversion of the prices of ADRs and their underlying stocks.