This paper investigates the pricing information transmission between the local
Asian market and the US market by using daytime and overnight returns on forty-four
Asian underlying stocks and their ADRs. We have found that the return and
volatility spillover from the underlying stock in the daytime Asian markets to its
ADR in the overnight U.S. market is much stronger than the return and volatility
spillover effect in the reverse direction from the U.S. market to the local Asian
markets. We have also found that, in Korea and Japan, the Asian financial crisis
has further intensified the information transmission in both direction from the
local market to the US market and from the US market to the local market. That is,
the extent of the return and volatility spillover effect between the Korea/Japan
markets and the US market becomes stronger after the Asian financial crisis than
before. On the other hand, most of the companies in New Zealand, China, Taiwan, and
Hong Kong and many companies in Australia show insignificant change in the extent
of the information transmission in either direction after the Asian financial
crisis.
학술대회/행사
학술대회안내
[2003년 제 2차] Information Transmission between Underlying Stocks
작성자 : 관리자
조회수 : 771
게시일 :
2003-07-12