The Effects of the Brazilian ADRs Program on Domestic Market Efficiency

35 Pages Posted: 28 Aug 2006  

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

Date Written: June 2002

Abstract

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

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

Benjamin M. Tabak

Catholic University of Brazil (UCB)

SGAN 916, Modulo B, Asa Norte
Brasília, DF 70790-160
Brazil

Government of the Federative Republic of Brazil - Central Bank of Brazil ( email )

P.O. Box 08670
SBS Quadra 3 Bloco B - Edificio-Sede
Brasilia, Distr. Federal 70074-900
Brazil

Eduardo J. A. Lima (Contact Author)

Government of the Federative Republic of Brazil - Central Bank of Brazil ( email )

P.O. Box 08670
SBS Quadra 3 Bloco B - Edificio-Sede
Brasilia, Distr. Federal 70074-900
Brazil

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