Using Threshold Cointegration to Examine Asymmetric Price Adjustments between ADRs and Their Underlying Securities: The Case of Taiwan

doi:10.1111/j.1813-6982.2005.00030.x

淡江大學機構典藏 > 商管學院 > 產業經濟學系暨研究所 > 期刊論文 > Item 987654321/61109

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题名:	Using Threshold Cointegration to Examine Asymmetric Price Adjustments between ADRs and Their Underlying Securities: The Case of Taiwan
作者:	Wang, Chun-hsuan;Lin, Chun-hung A.
贡献者:	淡江大學產業經濟學系
日期:	2005-09-01
上传时间:	2011-10-15 11:33:02 (UTC+8)
摘要:	Many recent studies have focused on the relationship between American Depository Receipts (ADRs) and their foreign underlying stocks, because of the price interaction and arbitrage opportunities provided by the dual listings. The cointegration and its corresponding error correction model employed in some recent studies assume that the tendency to move towards a long‐run equilibrium is present all the time. However, the presence of costs of adjustments may prevent economic agents from adjusting continuously. As an extension of previous studies, this paper applies the threshold cointegration model that allows for asymmetric adjustment towards a long‐run equilibrium to inspect the linkage between Taiwanese ADRs and their underlying shares. By employing the threshold error correction model, the short‐term adjustments also are examined. We find some evidence of asymmetric adjustments in our data. The tests for asymmetries are also implemented with the maximum likelihood estimation for the complete multivariate threshold cointegration model instead of the univariate model.
關聯:	South African Journal of Economics 73(3), pp.449-461
DOI:	10.1111/j.1813-6982.2005.00030.x
显示于类别:	[產業經濟學系暨研究所] 期刊論文

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