Market Segmentation and Stock Return Behavior in Domestic and Adr Markets: Evidence from Some Emerging Countries
10 Pages Posted: 19 Jun 2001
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