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- W2102839444 abstract "This study investigates the short run and long run relationship of dually listed Indian shares traded in US market using daily closing data for the financial crisis period from Sep 2007 to Feb 2009.Thedynamic interrelations between portfolio of three American depository receipts (ADRs) and their underlying stocks (UNDs) is examined by applying Cointegration test, Granger causality testand Vector Error Correction Model. The results confirm a long-run cointegrating relationship among the prices of Indian ADRs and their underlying shares, the Indian and the United States (US) market indices. The short-term dynamics of the ADR portfolio are influenced by the deviation from the long-run equilibrium and the lagged changes of all." @default.
- W2102839444 created "2016-06-24" @default.
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- W2102839444 date "2013-01-23" @default.
- W2102839444 modified "2023-09-23" @default.
- W2102839444 title "Short and Long Run Relationship Analysis of Indian Stocks Cross Listed in U.S" @default.
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- W2102839444 doi "https://doi.org/10.12691/jfa-1-2-5" @default.
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