Adrs and U.S. Market Sentiment

29 Pages Posted: 19 Jul 2001

See all articles by Jungwon Suh

Jungwon Suh

SK Economic Research Institute

Date Written: undated

Abstract

ADR share prices tend to deviate from their parity values under foreign ownership restrictions and other capital barriers. Time series of ADR premiums or discounts under such capital barriers provide an opportunity to examine the existence of a U.S. specific factor or U.S. investor sentiment. This paper studies a sample of ADRs from emerging countries and finds that ADR premium changes tend to comove with the aggregate U.S. market returns. This result suggests the existence of a U.S. specific factor or U.S. investor sentiment, echoing Bodurtha, Kim and Lee's result in their study of closed-end country fund premiums.

Keywords: ADRs, ownership restriction, investor sentiment

JEL Classification: G14, G15, G20

Suggested Citation

Suh, Jungwon, Adrs and U.S. Market Sentiment (undated). Available at SSRN: https://ssrn.com/abstract=273338 or http://dx.doi.org/10.2139/ssrn.273338

Jungwon Suh (Contact Author)

SK Economic Research Institute ( email )

23-10, Yeouido-dong, Youngdungpo-gu
150-734 Seoul
Korea
+82-2-3773-8918 (Phone)