Does Investor Base Influence Stock Comovement?

摘要：

Recent theory by Barberis and Shleifer (2003) suggests that stock comovement may be related to investor base. The implications of this view of comovement are tested in an international context by examining American Depositary Receipts (ADRs). ADRs are found to comove more with the U.S. market than their parent stocks. Parent stocks, in turn, have greater comovement with the U.S. market than similar foreign stocks traded solely at home. This increased relation with the U.S. market can be traced to the time of ADR listing. Competing explanations for these results are also examined. The country of origin of investor base appears to play an important role in international stock comovement. Further investigated are the implications of these findings for international diversification via ADRs as opposed to direct equity investment in foreign companies.

作者: Susan Ji

作者单位: Department of Economics and Finance, Zicklin School of Business, Baruch College, The City University of New York

会议类型: 国际会议

会议名称: 2005年中国国际金融年会

会议地点: 昆明

会议语种:英文

在线出版日期: 2005-07-05（万方平台首次上网日期，不代表论文的发表时间）