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A tale of two prices: Liquidity and asset prices in multiple markets

Citations

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Cited by:

  1. Hwang, Byoung-Hyoun, 2011. "Country-specific sentiment and security prices," Journal of Financial Economics, Elsevier, vol. 100(2), pages 382-401, May.
  2. Bian, Jiangze & Su, Tie & Wang, Jun, 2022. "Non-marketability and one-day selling lockup," Journal of Empirical Finance, Elsevier, vol. 65(C), pages 1-23.
  3. Fujun Lai & Qiong Wu & Deping Xiong & Sha Zhu, 2024. "How Foreign Institutional Investors’ Ownership Affects Stock Liquidity? Evidence from China," SAGE Open, , vol. 14(2), pages 21582440241, June.
  4. He, Hui & Yang, Jiawen, 2011. "Regime-switching analysis of ADR home market pass-through," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 204-214, January.
  5. David C. Ling & Andy Naranjo & Benjamin Scheick, 2016. "Credit Availability and Asset Pricing Dynamics in Illiquid Markets: Evidence from Commercial Real Estate Markets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(7), pages 1321-1362, October.
  6. Azusa Takeyama & Naoshi Tsuchida, 2015. "The Interaction between Funding Liquidity and Market Liquidity: Evidence from Subprime and European Crises," IMES Discussion Paper Series 15-E-14, Institute for Monetary and Economic Studies, Bank of Japan.
  7. Mantecon, Tomas & Poon, Percy, 2009. "An analysis of the liquidity benefits provided by secondary markets," Journal of Banking & Finance, Elsevier, vol. 33(2), pages 335-346, February.
  8. Eichler, Stefan, 2012. "Limited investor attention and the mispricing of American Depositary Receipts," Economics Letters, Elsevier, vol. 115(3), pages 490-492.
  9. Mitra, Sovan & Raju Chinthalapati, V.L. & Clark, Ephraim & McGroarty, Frank, 2019. "Stock-ADR Arbitrage: Microstructure Risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
  10. Kadapakkam, Palani-Rajan & Meisami, Alex & Shi, Yilun, 2010. "Lost in translation: Delayed ex-dividend price adjustments of Hong Kong ADRs," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 647-655, March.
  11. Charupat, Narat & Miu, Peter, 2011. "The pricing and performance of leveraged exchange-traded funds," Journal of Banking & Finance, Elsevier, vol. 35(4), pages 966-977, April.
  12. Hales, Alma D. & Mollick, André V., 2014. "The impact of ADR activity on stock market liquidity: Evidence from Latin America," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(3), pages 417-427.
  13. Dey, Malay K. & Wang, Chaoyan, 2012. "Return spread and liquidity: Evidence from Hong Kong ADRs," Research in International Business and Finance, Elsevier, vol. 26(2), pages 164-180.
  14. Demirer, Rıza & Kutan, Ali M. & Zhang, Huacheng, 2014. "Do ADR investors herd?: Evidence from advanced and emerging markets," International Review of Economics & Finance, Elsevier, vol. 30(C), pages 138-148.
  15. Frijns, Bart & Gilbert, Aaron & Tourani-Rad, Alireza, 2010. "The dynamics of price discovery for cross-listed shares: Evidence from Australia and New Zealand," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 498-508, March.
  16. Giuliana, Raffaele, 2022. "Fluctuating bail-in expectations and effects on market discipline, risk-taking and cost of capital," ESRB Working Paper Series 133, European Systemic Risk Board.
  17. Atanasova, Christina & Li, Mingxin, 2018. "Multi-market trading and liquidity: Evidence from cross-listed companies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 53(C), pages 117-138.
  18. Alma Hales, 2015. "Liquidity and price discovery in Latin America: evidence from American depositary receipts," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(4), pages 661-678, October.
  19. Ionut Marius CROITORU & Nicoleta Daniela IGNAT & Paula Paraschiva SPIRIDON & Luciana DRAGOMIR & Maria Valerica SOLOIU & Alexandra BRATILOVEANU, 2023. "Bibliometric Analysis Of Investment Classification Criteria," Management and Marketing Journal, University of Craiova, Faculty of Economics and Business Administration, vol. 0(2), pages 241-258, November.
  20. Roll, Richard & Subrahmanyam, Avanidhar, 2010. "Liquidity skewness," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2562-2571, October.
  21. Wei, Jason & Zheng, Jinguo, 2010. "Trading activity and bid-ask spreads of individual equity options," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2897-2916, December.
  22. He, Hui & Yang, Jiawen, 2012. "Day and night returns of Chinese ADRs," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2795-2803.
  23. Eichler, Stefan & Karmann, Alexander & Maltritz, Dominik, 2009. "The ADR shadow exchange rate as an early warning indicator for currency crises," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 1983-1995, November.
  24. P. Krishna Prasanna & Anish S. Menon, 2012. "Corporate governance and stock market liquidity in India," International Journal of Behavioural Accounting and Finance, Inderscience Enterprises Ltd, vol. 3(1/2), pages 24-45.
  25. Berkman, Henk & Nguyen, Nhut H., 2010. "Domestic liquidity and cross-listing in the United States," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1139-1151, June.
  26. Zheng, Yao & Osmer, Eric & Zheng, Liancun, 2018. "The relative pricing of cross-listed securities: The case of Chinese A- and H-share," The Quarterly Review of Economics and Finance, Elsevier, vol. 67(C), pages 297-310.
  27. Pilar Abad & M. Dolores Robles & Gare Cuervo, 2013. "Changes in Corporate Debt Ratings and Stock Liquidity: Evidence from the Spanish Market," Documentos de Trabajo del ICAE 2013-11, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  28. Eichler, Stefan, 2011. "Exchange rate expectations and the pricing of Chinese cross-listed stocks," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 443-455, February.
  29. Kim, Yongtae & Li, Haidan & Li, Siqi, 2012. "Does eliminating the Form 20-F reconciliation from IFRS to U.S. GAAP have capital market consequences?," Journal of Accounting and Economics, Elsevier, vol. 53(1), pages 249-270.
  30. Lee, Chien-Chiang & Chang, Chi-Hung & Chen, Mei-Ping, 2015. "Industry co-movements of American depository receipts: Evidences from the copula approaches," Economic Modelling, Elsevier, vol. 46(C), pages 301-314.
  31. Grossmann, Axel & Ngo, Thanh, 2022. "Cross-country cultural and economic freedom influences on the relationship between economic policy uncertainty and ADR mispricing," Research in International Business and Finance, Elsevier, vol. 62(C).
  32. Tang, Wenbin & Zhu, Lili, 2017. "How security prices respond to a surge in investor attention: Evidence from Google Search of ADRs," Global Finance Journal, Elsevier, vol. 33(C), pages 38-50.
  33. Chelley-Steeley, Patricia L. & Lambertides, Neophytos & Steeley, James M., 2015. "The effects of non-trading on the illiquidity ratio," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 204-228.
  34. Grossmann, Axel & Ngo, Thanh, 2020. "Economic policy uncertainty and ADR mispricing," Journal of Multinational Financial Management, Elsevier, vol. 55(C).
  35. Omar Esqueda & Dave Jackson, 2012. "Currency depreciation effects on ADR returns: evidence from Latin America," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(3), pages 691-711, July.
  36. Yan Peng & Song Li & Lijia Wei, 2022. "Trade War Risk and Valuations of Companies Listed Overseas: an Empirical Study on China Concept Stocks," Annals of Economics and Finance, Society for AEF, vol. 23(1), pages 95-139, May.
  37. Wu, Qinqin & Hao, Ying & Lu, Jing, 2017. "Investor sentiment, idiosyncratic risk, and mispricing of American Depository Receipt," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 51(C), pages 1-14.
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