Price transmission dynamics between ADRs and their underlying foreign security: The case of Banco de Colombia S.A.- Bancolombia.

This paper analyzes the dynamics ofthe American Depositary Receipt (ADR) of a Colombian bank (Bancolombia) in relation to its pricing factors (underlying (preferred) shares price, exchange rate and the US market index). The aim is to test if there is a long-term relation among these variables that w...

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Detalles Bibliográficos
Autor principal: Berggrun Preciado, Luis
Formato: article Artículo
Lenguaje:Español
Publicado: Universidad Icesi 2006
Materias:
AMERICAN DEPOSITARY RECEIPTS
STATIONARITY (UNIT ROOT) TEST
VECTOR ERROR CORRECTION MODEL
COINTEGRATION
Facultad De Ciencias Administrativas y Económicas
Estudios Gerenciales
Producción intelectual registrada - Universidad Icesi
Acceso en línea:http://hdl.handle.net/10906/795
http://www.icesi.edu.co/revistas/index.php/estudios_gerenciales/article/view/175
http://biblioteca2.icesi.edu.co/cgi-olib/?infile=details.glu&loid=160718
http://biblioteca.clacso.edu.ar/gsdl/cgi-bin/library.cgi?a=d&c=co/co-008&d=10906795oai
Aporte de:
Red de Bibliotecas Virtuales de Ciencias Sociales (CLACSO) de Consejo Latinoamericano de Ciencias Sociales
id I16-R122-10906795oai
record_format dspace
institution Consejo Latinoamericano de Ciencias Sociales
institution_str I-16
repository_str R-122
collection Red de Bibliotecas Virtuales de Ciencias Sociales (CLACSO)
language Español
topic AMERICAN DEPOSITARY RECEIPTS
STATIONARITY (UNIT ROOT) TEST
VECTOR ERROR CORRECTION MODEL
COINTEGRATION
Facultad De Ciencias Administrativas y Económicas
Estudios Gerenciales
Producción intelectual registrada - Universidad Icesi
spellingShingle AMERICAN DEPOSITARY RECEIPTS
STATIONARITY (UNIT ROOT) TEST
VECTOR ERROR CORRECTION MODEL
COINTEGRATION
Facultad De Ciencias Administrativas y Económicas
Estudios Gerenciales
Producción intelectual registrada - Universidad Icesi
Berggrun Preciado, Luis
Price transmission dynamics between ADRs and their underlying foreign security: The case of Banco de Colombia S.A.- Bancolombia.
topic_facet AMERICAN DEPOSITARY RECEIPTS
STATIONARITY (UNIT ROOT) TEST
VECTOR ERROR CORRECTION MODEL
COINTEGRATION
Facultad De Ciencias Administrativas y Económicas
Estudios Gerenciales
Producción intelectual registrada - Universidad Icesi
description This paper analyzes the dynamics ofthe American Depositary Receipt (ADR) of a Colombian bank (Bancolombia) in relation to its pricing factors (underlying (preferred) shares price, exchange rate and the US market index). The aim is to test if there is a long-term relation among these variables that would imply 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.
format article
Artículo
article
Artículo
author Berggrun Preciado, Luis
author_facet Berggrun Preciado, Luis
author_sort Berggrun Preciado, Luis
title Price transmission dynamics between ADRs and their underlying foreign security: The case of Banco de Colombia S.A.- Bancolombia.
title_short Price transmission dynamics between ADRs and their underlying foreign security: The case of Banco de Colombia S.A.- Bancolombia.
title_full Price transmission dynamics between ADRs and their underlying foreign security: The case of Banco de Colombia S.A.- Bancolombia.
title_fullStr Price transmission dynamics between ADRs and their underlying foreign security: The case of Banco de Colombia S.A.- Bancolombia.
title_full_unstemmed Price transmission dynamics between ADRs and their underlying foreign security: The case of Banco de Colombia S.A.- Bancolombia.
title_sort price transmission dynamics between adrs and their underlying foreign security: the case of banco de colombia s.a.- bancolombia.
publisher Universidad Icesi
publishDate 2006
url http://hdl.handle.net/10906/795
http://www.icesi.edu.co/revistas/index.php/estudios_gerenciales/article/view/175
http://biblioteca2.icesi.edu.co/cgi-olib/?infile=details.glu&loid=160718
http://biblioteca.clacso.edu.ar/gsdl/cgi-bin/library.cgi?a=d&c=co/co-008&d=10906795oai
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AT berggrunpreciadoluis preciodinamicadetransmisionentreadrsysuseguridadexteriordebaseelcasodelbancodecolombiasabancolombia
bdutipo_str Repositorios
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