TY  - JOUR 
TI  - Price tranmission dynamics between ADR' and their underlying foreign segurity : the case of Banco de Colombia S.A. - BANCOLOMBIA. Primera edición
JO  - Borradores de Economía y Finanzas;
PB  - Universidad Icesi
PY  - 2005
AB  - 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.
KW  - FACULTAD DE CIENCIAS ADMINISTRATIVAS Y ECONÓMICAS
KW  - DEPARTAMENTO DE ECONOMÍA
KW  - MERCADO
KW  - COLOMBIA
KW  - ESTADOS UNIDOS
KW  - ADR'S (RECIBOS DE DEPOSITO AMERICANOS)
KW  - BANCO DE COLOMBIA
KW  - PRECIOS
KW  - TASA DE CAMBIO
KW  - AMERICAN DEPOSITARY RECEIPTS
KW  - STATIONARITY (UNIT ROOT) TESTS
KW  - COINTEGRATION, VECTOR ERROR CORRECTION MODEL
KW  - IMPULSE RESPONSE FUNCTIONS
UR  - http://hdl.handle.net/10906/65279
ER  -