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Modelling Asymmetric Impact of Home Country Macroeconomic Variables on American Depository Receipts: Evidence from Eurozone

Author

Listed:
  • Muhammad Ahad

    (Lahore Business School, The University of Lahore)

  • Ijaz ur Rehman

    (College of Business Administration, Al Falah University)

  • Fiza Qureshi

    (IBA, University of Sindh)

  • Waqas Hanif

    (Department of Management Sciences, COMSATS Institute of Information Technology)

  • Zaheer Anwer

    (Lahore Centre of Excellence in Islamic Banking and Finance, University of Lahore)

Abstract

This study investigates the impact of home country macroeconomics variables on ADR price for the period 2000-2016 for France, Germany, Greece, Italy and Spain using NARDL. The results indicate the existence of asymmetries (nonlinearity) and hidden cointegration between positive and negative partial sum of underlying variables for all countries. Money supply, in general, affects ADR prices while inflation has positive (negative) impact on ADR prices in case of France and Italy (Germany, Greece and Spain) respectively. Economic growth is only significant determinant of ADR price for France, Greece and Spain. This study opens some new insights for ADR investors.

Suggested Citation

  • Muhammad Ahad & Ijaz ur Rehman & Fiza Qureshi & Waqas Hanif & Zaheer Anwer, 2018. "Modelling Asymmetric Impact of Home Country Macroeconomic Variables on American Depository Receipts: Evidence from Eurozone," Annals of Economics and Finance, Society for AEF, vol. 19(2), pages 703-727, November.
    • Handle: RePEc:cuf:journl:y:2018:v:19:i:2:ahad:rehman:qureshi:hanif:anwer
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    Cited by:

    1. Muhammad Ahad & Zaheer Anwer, 2022. "Do movements in macroeconomic determinants affect American depository receipt prices? Evidence from France," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 1700-1710, April.

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    More about this item

    Keywords

    American depository receipts; Inflation; Economic growth; NARDL; Multipliers; Eurozone;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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