Market Segmentation and Stock Return Behavior in Domestic and Adr Markets: Evidence from Some Emerging Countries

Alberton, Anete; Marcon, Rosilene; Bandeira de Mello, Rodrigo; da Costa, Newton C.A.

doi:10.2139/ssrn.274256

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Market Segmentation and Stock Return Behavior in Domestic and Adr Markets: Evidence from Some Emerging Countries

10 Pages Posted: 19 Jun 2001

See all articles by Anete Alberton

Anete Alberton

Federal University of Santa Catarina (UFSC) - Department of Economics

Newton C.A. da Costa

Faculdade de Filosofia, Letras e Ciências Humanas

Abstract

This paper analyzes the stock return behavior in domestic and international markets when companies from Brazil and Argentina have their stocks cross-listed in domestic Stock Exchange and International Stock Exchange. It also analyzes evidences of Market Segmentation Hypothesis in Brazilian stock market. The segmentation model of Hietala [3], tested by Jithendranathan, Nirmalanandan & Tandon [5], is extended in this paper. In the period from July, 1997 to June, 2000 the ADRs and their underlying stocks were influenced by their domestic market. Some differences between ADRs prices and underlying stocks prices were found.

JEL Classification: G14, G15

Suggested Citation: Suggested Citation

Alberton, Anete and Marcon, Rosilene and Bandeira de Mello, Rodrigo and Carneiro Affonso da Costa, Newton, Market Segmentation and Stock Return Behavior in Domestic and Adr Markets: Evidence from Some Emerging Countries. Available at SSRN: https://ssrn.com/abstract=274256 or http://dx.doi.org/10.2139/ssrn.274256