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dc.contributor.authorGupta, Rakesh
dc.contributor.authorYuan, Tian
dc.contributor.authorRoca, Eduardo
dc.description.abstractThis study investigates the long-run and short-run lead–lag linkages between American Depositary Receipt (ADR) prices and home country economic fundamentals in the context of the BRICs (Brazil, Russia, India and China). In order to obtain an indication of the segmentation or integration between the ADR market and its underlying stock market, the same investigation is also undertaken in relation to the latter. We find that in the long run, economic growth positively drives ADR returns in the cases of Brazil and China but negatively in the cases of Russia and India. In the short-run, economic growth and money supply lead ADR prices but ADR prices predict inflation and oil prices with regard to Brazil while in Russia, oil prices predict ADR returns but the ADR market leads monetary policies and real economic activity. As regards India, in the short run, oil prices and economic growth lead ADR prices but ADR prices predict money supply changes. Finally, with respect to China, the ADR index lead economic growth and inflation but economic variables do not predict ADR prices in the short-run. In the long run, with the exception of China, we find the same kind of linkages between these economic fundamentals and the underlying stock market although the linkages are somewhat stronger. The short run dynamics for ADRs with respect to economic fundamentals are, however, different for that of the respective home country stock market. This would imply that the ADR market and its underlying stock market, as far as the BRICs are concerned, are integrated in the long-run but not in the short-run.
dc.relation.ispartofjournalInternational Review of Financial Analysis
dc.subject.fieldofresearchInvestment and Risk Management
dc.subject.fieldofresearchAccounting, Auditing and Accountability
dc.subject.fieldofresearchBanking, Finance and Investment
dc.titleLinkages between the ADR market and home country macroeconomic fundamentals: Evidence in the context of the BRICs
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.facultyGriffith Business School, Department of Accounting, Finance and Economics
gro.hasfulltextNo Full Text
gro.griffith.authorRoca, Eduardo D.
gro.griffith.authorYuan, Tian
gro.griffith.authorGupta, Rakesh

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