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Inter-day return and volatility dynamics between Japanese ADRs and their underlying securities

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  • Sheng-Yung Yang

Abstract

In this study, we apply a more refined statistical procedure to test the dependencies and direction of inter-day spillover effects between the ADRs and their underlying shares on two nonsynchronous international markets. The empirical results provide evidence of contemporaneous return and volatility spillovers from Tokyo to New York, and vice versa. In the lagged spillover test, the evidence also suggests that the dominant market (home market) adjusts to the information from the satellite market (foreign market) in an efficient manner. In contrast, the satellite market reacts to the information from the dominant market with a delay.

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  • Sheng-Yung Yang, 2007. "Inter-day return and volatility dynamics between Japanese ADRs and their underlying securities," Applied Financial Economics, Taylor & Francis Journals, vol. 17(10), pages 837-853.
    • Handle: RePEc:taf:apfiec:v:17:y:2007:i:10:p:837-853
    DOI: 10.1080/09603100600722136
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    Cited by:

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    2. Chih-hsiang Hsu & Ming-sung Kao & Wei-pen Tsai, 2014. "Information Transmission between Dual Listed Stocks with Non-Overlapping Trading Hours," Economics Bulletin, AccessEcon, vol. 34(3), pages 1733-1741.
    3. Levy Yeyati, Eduardo & Schmukler, Sergio L. & Van Horen, Neeltje, 2009. "International financial integration through the law of one price: The role of liquidity and capital controls," Journal of Financial Intermediation, Elsevier, vol. 18(3), pages 432-463, July.
    4. Biplab Bhattacharjee & Muhammad Shafi & Animesh Acharjee, 2017. "Investigating the Evolution of Linkage Dynamics among Equity Markets Using Network Models and Measures: The Case of Asian Equity Market Integration," Data, MDPI, vol. 2(4), pages 1-28, December.

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