Price transmission dynamics between ADRs and their underlying foreign security: The case of Banco de Colombia S.A.- Bancolombia.

This paper analyzes the dynamics ofthe 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 w...

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Autores:
Berggrun Preciado, Luis
Tipo de recurso:
Article of investigation
Fecha de publicación:
2005
Institución:
Universidad ICESI
Repositorio:
Repositorio ICESI
Idioma:
eng
OAI Identifier:
oai:repository.icesi.edu.co:10906/795
Acceso en línea:
http://hdl.handle.net/10906/795
http://www.icesi.edu.co/revistas/index.php/estudios_gerenciales/article/view/175
http://biblioteca2.icesi.edu.co/cgi-olib/?infile=details.glu&loid=160718
Palabra clave:
American depositary receipts
Stationarity (Unit root) Test
Vector error correction model
Cointegración
Producción intelectual registrada - Universidad Icesi
Economía
Econometría
Economics
Econometrics models
Rights
openAccess
License
https://creativecommons.org/licenses/by-nc-nd/4.0/
id ICESI2_2bc2753c06364688fb2858e3c0caa50c
oai_identifier_str oai:repository.icesi.edu.co:10906/795
network_acronym_str ICESI2
network_name_str Repositorio ICESI
repository_id_str
dc.title.spa.fl_str_mv Price transmission dynamics between ADRs and their underlying foreign security: The case of Banco de Colombia S.A.- Bancolombia.
dc.title.alternative.spa.fl_str_mv Precio dinámica de transmisión entre ADRs y su seguridad exterior de base: el caso del banco de Colombia S.A. - Bancolombia
title Price transmission dynamics between ADRs and their underlying foreign security: The case of Banco de Colombia S.A.- Bancolombia.
spellingShingle Price transmission dynamics between ADRs and their underlying foreign security: The case of Banco de Colombia S.A.- Bancolombia.
American depositary receipts
Stationarity (Unit root) Test
Vector error correction model
Cointegración
Producción intelectual registrada - Universidad Icesi
Economía
Econometría
Economics
Econometrics models
title_short Price transmission dynamics between ADRs and their underlying foreign security: The case of Banco de Colombia S.A.- Bancolombia.
title_full Price transmission dynamics between ADRs and their underlying foreign security: The case of Banco de Colombia S.A.- Bancolombia.
title_fullStr Price transmission dynamics between ADRs and their underlying foreign security: The case of Banco de Colombia S.A.- Bancolombia.
title_full_unstemmed Price transmission dynamics between ADRs and their underlying foreign security: The case of Banco de Colombia S.A.- Bancolombia.
title_sort Price transmission dynamics between ADRs and their underlying foreign security: The case of Banco de Colombia S.A.- Bancolombia.
dc.creator.fl_str_mv Berggrun Preciado, Luis
dc.contributor.author.spa.fl_str_mv Berggrun Preciado, Luis
dc.subject.spa.fl_str_mv American depositary receipts
Stationarity (Unit root) Test
Vector error correction model
Cointegración
Producción intelectual registrada - Universidad Icesi
topic American depositary receipts
Stationarity (Unit root) Test
Vector error correction model
Cointegración
Producción intelectual registrada - Universidad Icesi
Economía
Econometría
Economics
Econometrics models
dc.subject.none.fl_str_mv Economía
Econometría
Economics
Econometrics models
description This paper analyzes the dynamics ofthe 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.
publishDate 2005
dc.date.issued.spa.fl_str_mv 2005-10-01
dc.date.accessioned.spa.fl_str_mv 2006-10-06T21:40:57Z
dc.date.available.spa.fl_str_mv 2006-10-06T21:40:57Z
dc.type.spa.fl_str_mv info:eu-repo/semantics/article
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dc.identifier.issn.none.fl_str_mv 0123-5923
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dc.identifier.uri.spa.fl_str_mv http://www.icesi.edu.co/revistas/index.php/estudios_gerenciales/article/view/175
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identifier_str_mv 0123-5923
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url http://hdl.handle.net/10906/795
http://www.icesi.edu.co/revistas/index.php/estudios_gerenciales/article/view/175
http://biblioteca2.icesi.edu.co/cgi-olib/?infile=details.glu&loid=160718
dc.language.iso.eng.fl_str_mv eng
language eng
dc.relation.ispartof.spa.fl_str_mv ESTUDIOS GERENCIALES, No. 97 - Octubre/Diciembre 2005
dc.relation.uri.spa.fl_str_mv http://hdl.handle.net/10906/795
dc.rights.uri.none.fl_str_mv https://creativecommons.org/licenses/by-nc-nd/4.0/
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dc.format.extent.spa.fl_str_mv 16 páginas
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dc.coverage.spatial.eng.fl_str_mv Cali de Lat: 03 24 00 N degrees minutes Lat: 3.4000 decimal degrees Long: 076 30 00 W degrees minutes Long: -76.5000 decimal degrees
dc.publisher.spa.fl_str_mv Universidad Icesi
dc.publisher.faculty.spa.fl_str_mv Facultad de Ciencias Administrativas y Económicas
dc.publisher.place.spa.fl_str_mv Santiago de Cali
institution Universidad ICESI
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spelling Berggrun Preciado, Luislberggru@icesi.edu.coCali de Lat: 03 24 00 N degrees minutes Lat: 3.4000 decimal degrees Long: 076 30 00 W degrees minutes Long: -76.5000 decimal degrees2006-10-06T21:40:57Z2006-10-06T21:40:57Z2005-10-010123-5923http://hdl.handle.net/10906/795http://www.icesi.edu.co/revistas/index.php/estudios_gerenciales/article/view/175http://biblioteca2.icesi.edu.co/cgi-olib/?infile=details.glu&loid=160718instname: Universidad Icesireponame: Biblioteca Digitalrepourl: https://repository.icesi.edu.co/This paper analyzes the dynamics ofthe 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.16 páginasDigitalapplication/pdfengUniversidad IcesiFacultad de Ciencias Administrativas y EconómicasSantiago de CaliESTUDIOS GERENCIALES, No. 97 - Octubre/Diciembre 2005http://hdl.handle.net/10906/795EL AUTOR, expresa que la obra objeto de la presente autorización es original y la elaboró sin quebrantar ni suplantar los derechos de autor de terceros, y de tal forma, la obra es de su exclusiva autoría y tiene la titularidad sobre éste. PARÁGRAFO: en caso de queja o acción por parte de un tercero referente a los derechos de autor sobre el artículo, folleto o libro en cuestión, EL AUTOR, asumirá la responsabilidad total, y saldrá en defensa de los derechos aquí autorizados; para todos los efectos, la Universidad Icesi actúa como un tercero de buena fe. Esta autorización, permite a la Universidad Icesi, de forma indefinida, para que en los términos establecidos en la Ley 23 de 1982, la Ley 44 de 1993, leyes y jurisprudencia vigente al respecto, haga publicación de este con fines educativos Toda persona que consulte ya sea la biblioteca o en medio electrónico podrá copiar apartes del texto citando siempre la fuentes, es decir el título del trabajo y el autor.https://creativecommons.org/licenses/by-nc-nd/4.0/info:eu-repo/semantics/openAccessAtribución-NoComercial-SinDerivadas 4.0 Internacional (CC BY-NC-ND 4.0)http://purl.org/coar/access_right/c_abf2American depositary receiptsStationarity (Unit root) TestVector error correction modelCointegraciónProducción intelectual registrada - Universidad IcesiEconomíaEconometríaEconomicsEconometrics modelsPrice transmission dynamics between ADRs and their underlying foreign security: The case of Banco de Colombia S.A.- Bancolombia.Precio dinámica de transmisión entre ADRs y su seguridad exterior de base: el caso del banco de Colombia S.A. - Bancolombiainfo:eu-repo/semantics/articlehttp://purl.org/coar/resource_type/c_2df8fbb1Artículoinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/version/c_970fb48d4fbd8a85Comunidad Universidad Icesi971329ORIGINALdocumento.htmldocumento.htmltext/html374http://repository.icesi.edu.co/biblioteca_digital/bitstream/10906/795/6/documento.html10320996f9ec156ee669ef9ea7522792MD56CC-LICENSElicense_urllicense_urltext/plain49http://repository.icesi.edu.co/biblioteca_digital/bitstream/10906/795/3/license_urlfd26723f8d7edacdb29e3f03465c3b03MD53license_rdflicense_rdfapplication/octet-stream22797http://repository.icesi.edu.co/biblioteca_digital/bitstream/10906/795/4/license_rdfc87af7b95ad7d9cc7c32b1191f533229MD54license_textlicense_textapplication/octet-stream23084http://repository.icesi.edu.co/biblioteca_digital/bitstream/10906/795/5/license_text24f8f2abcc0a604d988d82a6620de1ddMD5510906/795oai:repository.icesi.edu.co:10906/7952018-12-04 09:56:39.429Biblioteca Digital - Universidad icesicdcriollo@icesi.edu.co