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...
- 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/
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|
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 |
dc.type.coar.none.fl_str_mv |
http://purl.org/coar/resource_type/c_2df8fbb1 |
dc.type.local.spa.fl_str_mv |
Artículo |
dc.type.version.spa.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.coarversion.none.fl_str_mv |
http://purl.org/coar/version/c_970fb48d4fbd8a85 |
format |
http://purl.org/coar/resource_type/c_2df8fbb1 |
status_str |
publishedVersion |
dc.identifier.issn.none.fl_str_mv |
0123-5923 |
dc.identifier.other.spa.fl_str_mv |
http://hdl.handle.net/10906/795 |
dc.identifier.uri.spa.fl_str_mv |
http://www.icesi.edu.co/revistas/index.php/estudios_gerenciales/article/view/175 |
dc.identifier.OLIB.spa.fl_str_mv |
http://biblioteca2.icesi.edu.co/cgi-olib/?infile=details.glu&loid=160718 |
dc.identifier.instname.none.fl_str_mv |
instname: Universidad Icesi |
dc.identifier.reponame.none.fl_str_mv |
reponame: Biblioteca Digital |
dc.identifier.repourl.none.fl_str_mv |
repourl: https://repository.icesi.edu.co/ |
identifier_str_mv |
0123-5923 instname: Universidad Icesi reponame: Biblioteca Digital repourl: https://repository.icesi.edu.co/ |
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/ |
dc.rights.accessrights.spa.fl_str_mv |
info:eu-repo/semantics/openAccess |
dc.rights.license.none.fl_str_mv |
Atribución-NoComercial-SinDerivadas 4.0 Internacional (CC BY-NC-ND 4.0) |
dc.rights.coar.none.fl_str_mv |
http://purl.org/coar/access_right/c_abf2 |
rights_invalid_str_mv |
https://creativecommons.org/licenses/by-nc-nd/4.0/ Atribución-NoComercial-SinDerivadas 4.0 Internacional (CC BY-NC-ND 4.0) http://purl.org/coar/access_right/c_abf2 |
eu_rights_str_mv |
openAccess |
dc.format.extent.spa.fl_str_mv |
16 páginas |
dc.format.medium.spa.fl_str_mv |
Digital |
dc.format.mimetype.spa.fl_str_mv |
application/pdf |
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 |
bitstream.url.fl_str_mv |
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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 |