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International diversification with American Depository Receipts (ADRs).pdf

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International diversification with American Depository Receipts (ADRs)

Pacific-Basin Finance Journal 19 (2011) 98–114 Contents lists available at ScienceDirect Pacific-Basin Finance Journal j ourna l homepage: www.e lsev ie / locate /pacf inInternational diversification with American Depository Receipts (ADRs) M. Humayun Kabir a,?, M. Kabir Hassan b, Neal Maroney b a Department of Economics Finance, Massey University, Palmerston North, New Zealand b Department of Economics Finance, University of New Orleans, New Orleans, LA 70148, USAa r t i c l e i n f o? Corresponding author. Tel.: +1 504 280 6487; fa E-mail addresses: M.H.Kabir@massey.ac.nz (M.H. 1 The ADRs are negotiable certificates or financial in the country of origin through the custodian banks ownership rights to stocks in a foreign country, and equities. The ADRs are traded in the U.S. market like s rather than in foreign securities directly. An ADR is jus by U.S. trading volumes. If the U.S. investors (or thei purchasing the underlying shares and depositing the 0927-538X/$ – see front matter ? 2010 Elsevier B.V doi:10.1016/j.pacfin.2010.09.003a b s t r a c tArticle history: Received 17 November 2008 Accepted 23 September 2010 Available online 29 September 2010The objective of the paper is to analyze whether U.S. investors can achieve diversification benefits from American Depository Receipts (ADRs) beyond what is achievable through investing directly in country indices. Our findings show substitutability between ADRs and country indices in developed region in the late 1990s, whereas the investors need to invest both ADRs and country indices in Latin America and only ADRs in Asian region in recent periods. However, large numbers of ADR issuing countries irrespective of regions show such substitutability between ADRs and country indices. The findings are both statistically and economically significant. We also find time variation in diversification benefits across countries. ? 2010 Elsevier B.V. All rights reserved.JEL classification: G11 Portfolio choice G15 International f