아시아 개도국 ADR 성과와 그 결정요인에 관한 실증연구

An Empirical Study on the ADR Determinants and Performances of Developing Countries in Asia

since the 2000s, as a result liberalization of capital transaction asia developing countries have actively developed several financing sources. in this trend, ADR(american depositary receipts), on which this paper focuses, are becoming more and more popular financing instruments. this paper empirically studies the ADR determinants and performances of Developing Countries in Asia. found the following interesting results. First, the empirical results show that an increase in underlying stock returns has simultaneously positive relations with ADR price returns. the results of this study indicated that ADR and underlying stock prices seem to converge and spillover effects. Second, when U.S stock market returns increase, Taiwan, China, Korea, Hong Kong ADR price returns also increase. from in this results, can conjecture that as time goes by, U.S investors treat ADR as local stocks. Third, met with result that negative relation between ADR price returns and foreign exchange rate, but China, Hong Kong did not. Lastly, found that an increase in the country risk premiums has negative relations with Taiwan, Thailand ADR price returns but we couldn’t find out other countries.