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dc.contributor.authorYuan, Tian
dc.contributor.authorGupta, Rakesh
dc.contributor.authorRoca, Eduardo
dc.contributor.editorNeupane, Suman
dc.contributor.editorRoca, Eduardo
dc.date.accessioned2020-01-16T07:52:52Z
dc.date.available2020-01-16T07:52:52Z
dc.date.issued2015
dc.identifier.issn1836-8123en_US
dc.identifier.otherRePEc:gri:fpaper:finance:201502
dc.identifier.urihttp://hdl.handle.net/10072/390454
dc.description.abstractThis study investigates the linkages of the ADR prices of the BRICs with their respective home country economic fundamentals. Specifically, the paper attempts to explore the (a) long run relationship and (b) short run lead-lag relationship between the ADR prices and the major economic indicators for the home country. Using a Johansen - Vector Autorgressive (VAR) approach with monthly data for the period - January 2000 to February 2013, we find that, with the exception of Russia, there is a long run relationship between ADR prices and the home country's economic growth. This seems to be in line with the conventional view that 'higher growth higher returns'. The evidence for the short run dynamics suggests that past values of some of the economic indicators can be used to forecast Brazilian, Russian and Indian ADR returns. The predictability may allow investors to exploit excess returns on ADRs based on these macroeconomic variables. In general, the short run dynamics for the case of ADRs are different from that of their respective home country stock market index.en_US
dc.format.extent38 pages
dc.languageEnglish
dc.publisherGriffith Universityen_US
dc.publisher.placeBrisbane, Australiaen_US
dc.relation.ispartofpagefrom1en_US
dc.relation.ispartofpageto38en_US
dc.subject.keywordsF36 - Financial Aspects of Economic Integration
dc.subject.keywordsG15 - International Financial Markets
dc.subject.keywordsAmerican Depositary Receipt (ADR)en_US
dc.subject.keywordsBRICsen_US
dc.subject.keywordsMacroeconomic Information Transmission Mechanismen_US
dc.subject.keywordsVECMen_US
dc.subject.keywordsGranger Causality Testen_US
dc.title2015-02: Home Country Macroeconomic Fundamentals and the ADR Market: The Case of the BRICs (Working paper)en_US
dc.typeReporten_US
dc.type.descriptionDiscussion Paperen_US
gro.facultyGriffith Business School
gro.description.notepublicFinance
gro.rights.copyrightCopyright © 2010 by author(s). No part of this paper may be reproduced in any form, or stored in a retrieval system, without prior permission of the author(s).
gro.date.issued2015
gro.hasfulltextFull Text
gro.griffith.authorYuan, Tian
gro.griffith.authorGupta, Rakesh
gro.griffith.authorRoca, Eduardo D.


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