35 Pages Posted: 28 Aug 2006
Date Written: June 2002
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.
Keywords: Random walk, variance-ratio test, emerging markets, weak-form efficiency, American Depositary Receipts
JEL Classification: G14, G15
Suggested Citation: Suggested Citation
Tabak, Benjamin M. and Lima, Eduardo J. A., The Effects of the Brazilian ADRs Program on Domestic Market Efficiency (June 2002). Banco de Espana Research Paper No. WP-43. Available at SSRN: https://ssrn.com/abstract=926534 or http://dx.doi.org/10.2139/ssrn.926534
By Kamil Yilmaz