The Effects of the Brazilian ADRs Program on Domestic Market Efficiency
Benjamin M. Tabak
Catholic University of Brazil (UCB); Government of the Federative Republic of Brazil - Central Bank of Brazil
Eduardo J. A. Lima
Government of the Federative Republic of Brazil - Central Bank of Brazil
Banco de Espana Research Paper No. WP-43
This paper examines the impact on Brazilian stocks following American Depositary Receipts (ADRs) listing in the U.S. stock markets. Evidence suggests that a systematic change has taken place in the post-listing period as the multivariate variance ratio statistics have significantly decreased if compared to the pre-listing period, which indicates a move toward a more efficient domestic stock market. This empirical evidence is robust to the use of dollar and local currency-denominated returns. These results add to the literature that finds evidence on changes in domestic volatility and abnormal returns around listing dates.
Number of Pages in PDF File: 35
Keywords: Random walk, variance-ratio test, emerging markets, weak-form efficiency, American Depositary Receipts
JEL Classification: G14, G15
Date posted: August 28, 2006
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