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| Formato: | Artículo científico |
| Lenguaje: | en |
| Publicado: |
Universidad ICESI
2005
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| Acceso en línea: | https://www.redalyc.org/articulo.oa?id=21209701 |
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- Price transmission dynamics between ADRs and their underlying foreign security: the case of Banco de Colombia S. A.- Bancolombia Luis Berggrun P. Administración y Contabilidad cointegration impulse response functions American Depositary Receipts vector error correction model stationarity (unit root) tests This paper analyzes the dynamics of the American Depositary Receipt(ADR) of a Colombian bank (Ban-colombia) in relation to its pricingfactors (underlying (preferred) shares price, exchange rate and the US market index). The aim is to testif there is a longterm relation among these variables that wouldimply predictability. One cointegrating relation is found allowing the use of a vector error correction model to examine the transmission of shocks to the underlying prices,the exchange rate, and the US market index. The main finding of this paper is that in the short run, the underlying share price seems to adjust after changes in the ADR price, pointing to the fact that the NYSE (trading market for the ADR) leads the Colombian market. However, in the long run, both, the underlying share price and the ADR price, adjust to changes in one another. 2005 artículo científico 0123-5923 https://www.redalyc.org/articulo.oa?id=21209701 en http://www.redalyc.org/revista.oa?id=212 Estudios Gerenciales application/pdf Universidad ICESI Estudios Gerenciales (Colombia) Num.97