The dynamic relationship between the prices of ADRs and their underlying stocks: evidence from the threshold vector error correction model

doi:10.1080/00036840500218729

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DC Field	Value	Language
dc.contributor.author	Chung, HM	en_US
dc.contributor.author	Ho, TW	en_US
dc.contributor.author	Wei, LJ	en_US
dc.date.accessioned	2014-12-08T15:20:15Z	-
dc.date.available	2014-12-08T15:20:15Z	-
dc.date.issued	2005-11-10	en_US
dc.identifier.issn	0003-6846	en_US
dc.identifier.uri	http://dx.doi.org/10.1080/00036840500218729	en_US
dc.identifier.uri	http://hdl.handle.net/11536/14385	-
dc.description.abstract	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.	en_US
dc.language.iso	en_US	en_US
dc.title	The dynamic relationship between the prices of ADRs and their underlying stocks: evidence from the threshold vector error correction model	en_US
dc.type	Article	en_US
dc.identifier.doi	10.1080/00036840500218729	en_US
dc.identifier.journal	APPLIED ECONOMICS	en_US
dc.citation.volume	37	en_US
dc.citation.issue	20	en_US
dc.citation.spage	2387	en_US
dc.citation.epage	2394	en_US
dc.contributor.department	管理科學系	zh_TW
dc.contributor.department	資訊管理與財務金融系註：原資管所+財金所	zh_TW
dc.contributor.department	Department of Management Science	en_US
dc.contributor.department	Department of Information Management and Finance	en_US
dc.identifier.wosnumber	WOS:000233908300009	-
dc.citation.woscount	9	-
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