The anatomy of financial crises: Evidence from the emerging ADR market

• 成果类型: Article
• 署名作者: Pasquariello, Paolo
• 署名单位: University of Michigan System; University of Michigan
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2008.04.001
• 发表日期: 2008
• 页码: 193-207
• 关键词: Regime shifts; financial crises; ADRs; market efficiency; market integration

摘要

We study the anatomy of recent financial crises in Mexico, East Asia, Russia, Brazil, Turkey, and Argentina by investigating the efficiency and pricing of the emerging American depositary receipt (ADR) market. We use a non-parametric technique to test for persistent regime shifts in two basic structural relationships for ADR returns in 20 emerging countries - identified via arbitrage and capital mobility considerations - that should always hold in efficient and integrated capital markets. We find that those normal market conditions were instead often violated in proximity of financial crises: The law of one price often weakened (by 54% on average) and domestic sources of risk became more important (often by more than 100%) for many emerging ADRs. We also find the likelihood of these regime shifts to be related to proxies for uncertainty among investors, exchange rate volatility, trade linkages, and liquidity (but not stock market trends, currency devaluations, capital flight, or capital controls). (C) 2008 Elsevier B.V. All rights reserved.