Interdependence and asymmetries: Latin American ADRs and developed markets

The ADRs market presented great growing importance in the last decades, specially for companies based on developing countries, such as those of Latin America. In this context, this research sought to detect and measure the interdependence phenomenon, comprising the returns and volatility spillovers...

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Bibliographic Details
Published in:BBR Brazilian business review (Portuguese ed.) 2018-07, Vol.15 (4), p.391-409
Main Authors: Correa, Ana Carolina Costa, Junior, Tabajara Pimenta, Gaio, Luiz Eduardo
Format: Article
Language:eng ; por
Subjects:
adrs
American Depositary Receipts
asymmetries
Capital markets
Developing countries
Diversification
Economic crisis
Economic development
Economic growth
Economic models
Financial analysis
Financial statements
Globalization
Industrialized nations
interdependence
International finance
Investments
LDCs
Liberalization
MANAGEMENT
Propagation
Rates of return
Securities markets
Skewness
spillovers
Stock price indexes
Volatility
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Summary:The ADRs market presented great growing importance in the last decades, specially for companies based on developing countries, such as those of Latin America. In this context, this research sought to detect and measure the interdependence phenomenon, comprising the returns and volatility spillovers and their asymmetries between the levels 2 and 3 ADRs of the main capital markets of Latin America (Brazil, Argentina, Chile and Mexico) and the developed ones (the United States, Japan, the United Kingdom and France), regarding the last financial crisis scope. This phenomenon was investigated considering both the daily returns of their market stock indices, such as those of the ADRs indices created in this study, from June 2008 to May, 2015, via VAR-MGARCH multivaried skewness models, with diagonal VECH representation. The main conclusion was that the ADR indices presented greater interdependence with the developed countries, compared to the analyzed Latin American equity markets.
ISSN:1808-2386
1807-734X
1808-2386
1807-734X
DOI:10.15728/bbr.2018.15.4.6