Seasonal Anomalies in the Market for American Depository Receipts

25 Pages Posted: 9 Dec 2019

See all articles by Júlio Lobão

Júlio Lobão

School of Economics and Management

Date Written: December 5, 2019


Purpose – The literature provides extensive evidence for seasonality in stock market returns, but is almost non-existent concerning the potential seasonality in American depository receipts (ADRs). To fill this gap, this paper aims to examine a number of seasonal effects in the market for ADRs.

Design/methodology/approach – The paper examines four ADRs for the period from April 1999 to March 2017 to look for signs of eight important seasonal anomalies. The authors follow the standard methodology of using dummy variables for the time period of interest to capture excess returns. For comparison, the same analysis on two US stock market indices is conducted.

Findings – The results show the presence of a highly significant pre-holiday effect in all return series, which does not seem to be justified by risk. Moreover, turn-of-the-month effects, monthly effects and day-of-the-week effects were detected in some of the ADRs. The seasonality patterns under analysis tended to be stronger in emerging market-based ADRs.

Research limitations/implications – Overall, the results show that significant seasonal patterns were present in the price dynamics of ADRs. Moreover, the findings lend support to the idea that emerging markets are less efficient than developed stock markets.

Originality/value – This is the most comprehensive study to date for indication of seasonal anomalies in the market for ADRs. The authors use an extensive sample that includes recent significant financial events such as the 2007/2008 financial crisis and consider ADRs with different characteristics, which allows to draw comparisons between the differential price dynamics arising in developed market-based ADRs and in the ADRs whose underlying securities are traded in emerging markets.

Keywords: Emerging markets, American depository receipts, Seasonal anomalies, Market efficiency, Developed markets

JEL Classification: C01, C13, C58, F31, F37, G11

Suggested Citation

Lobão, Júlio, Seasonal Anomalies in the Market for American Depository Receipts (December 5, 2019). Journal of Economics, Finance & Administrative Science, Vol. 24, No. 48, 2019, Available at SSRN:

Júlio Lobão (Contact Author)

School of Economics and Management ( email )

Rua Dr. Roberto Frias
4200-464 Porto

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