%0 Journal Article 
%T Price tranmission dynamics between ADR' and their underlying foreign segurity : the case of Banco de Colombia S.A. - BANCOLOMBIA. Primera edición
%J Borradores de Economía y Finanzas;
%D 2005
%U http://hdl.handle.net/10906/65279
%X This paper analyzes the dynamics of the American Depositary Receipt (ADR) of a Colombian
bank (Bancolombia) in relation to its pricing factors (underlying (preferred) shares price, exchange rate and
the US market index). The aim is to test if there is a long-term relation among these variables that would
imply predictability. One cointegrating relation is found allowing the use of a vector error correction model to
examine the transmission of shocks to the underlying prices, the exchange rate, and the US market index.
The main finding of this paper is that in the short run, the underlying share price seems to adjust after
changes in the ADR price, pointing to the fact that the NYSE (trading market for the ADR) leads the
Colombian market. However, in the long run, both, the underlying share price and the ADR price, adjust to
changes in one another.
%K FACULTAD DE CIENCIAS ADMINISTRATIVAS Y ECONÓMICAS
%K DEPARTAMENTO DE ECONOMÍA
%K MERCADO
%K COLOMBIA
%K ESTADOS UNIDOS
%K ADR'S (RECIBOS DE DEPOSITO AMERICANOS)
%K BANCO DE COLOMBIA
%K PRECIOS
%K TASA DE CAMBIO
%K AMERICAN DEPOSITARY RECEIPTS
%K STATIONARITY (UNIT ROOT) TESTS
%K COINTEGRATION, VECTOR ERROR CORRECTION MODEL
%K IMPULSE RESPONSE FUNCTIONS
%~ GOEDOC, SUB GOETTINGEN