The dynamic relationship between the prices of ADRs and their underlying stocks: evidence from the threshold vector error correction model
| dc.citation.epage | 2394 | en_US |
| dc.citation.issue | 20 | en_US |
| dc.citation.spage | 2387 | en_US |
| dc.citation.volume | 37 | en_US |
| dc.citation.woscount | 9 | |
| dc.contributor.author | Chung, HM | en_US |
| dc.contributor.author | Ho, TW | en_US |
| dc.contributor.author | Wei, LJ | 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.date.accessioned | 2014-12-08T15:20:15Z | |
| dc.date.available | 2014-12-08T15:20:15Z | |
| dc.date.issued | 2005-11-10 | en_US |
| 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.identifier.doi | 10.1080/00036840500218729 | en_US |
| dc.identifier.issn | 0003-6846 | en_US |
| dc.identifier.journal | APPLIED ECONOMICS | en_US |
| dc.identifier.uri | http://dx.doi.org/10.1080/00036840500218729 | en_US |
| dc.identifier.uri | https://ir.lib.nycu.edu.tw/handle/11536/14385 | |
| dc.identifier.wosnumber | WOS:000233908300009 | |
| 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 |