ADR活动对股价同步性的溢出效应：新兴市场的经验证据

IF 3.3 Q1 BUSINESS, FINANCE

Journal of International Accounting Auditing and Taxation Pub Date : 2025-05-25 DOI:10.1016/j.intaccaudtax.2025.100704

Dante B.C. Viana Jr.

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引用次数: 0

摘要

本文研究了美国存托凭证（ADR）发行对新兴市场非ADR公司股价同同性的行业内溢出效应。基于六个拉丁美洲国家的上市公司样本，虽然我发现一些证据表明ADR发行人在ADR发行后时期的股价同同性有所下降，但主要发现表明，来自有ADR发行活动行业的非ADR公司的平均同同性水平高于来自没有ADR发行活动行业的非ADR公司。这些跨国平均结果对不同的回归方法和替代子样本具有鲁棒性，以减轻内生性问题。尽管这一趋势在大多数拉丁美洲国家得到证实，但个别国家的分析表明，ADR行业活动的影响是同步减少的，特别是对非ADR的智利公司。补充的、更深入的实证分析表明，国家层面的因素和ADR公司特征在这一问题中起着至关重要的作用。我的主要研究结果证明，ADR活动对拉丁美洲非ADR公司股价同步性的总体正向溢出效应是非单调的。这些探索性发现有助于就ADR发行对当地经济的影响展开积极的辩论，特别是在资本市场上可获得的财务报告的信息量方面。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The spillover effect of ADR activity on stock price synchronicity: Empirical evidence in emerging markets

This study investigates the intra-industry spillover effect of American Depositary Receipt (ADR) issuance on the stock price synchronicity of non-ADR firms from emerging markets. Based on a sample of listed firms from six Latin American countries, although I find some evidence of a decrease in stock price synchronicity among ADR issuers in post-ADR issuance periods, the main findings suggest that non-ADR firms from industries with ADR issuance activity have higher levels of synchronicity on average than non-ADR firms from industries with no ADR issuance activity. These cross-country average results are robust to different regression methods and alternative subsamples employed to mitigate endogeneity concerns. Even though this trend is confirmed for the majority of the Latin American countries under review, individual-country analyses indicate a synchronicity-decreasing effect of ADR industry activity, particularly for non-ADR Chilean firms. Complementary, more in-depth empirical analyses suggest that country-level factors and ADR firm characteristics play an essential role in this issue. My main findings document that the overall positive spillover effect of ADR activity on the stock price synchronicity of non-ADR firms in Latin America is non-monotonic. These exploratory findings contribute to the active debate regarding the impact of ADR issuance on local economies, particularly with respect to the informativeness of financial reporting available in the capital markets.

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来源期刊

Journal of International Accounting Auditing and Taxation BUSINESS, FINANCE-

CiteScore

4.50

自引率

3.80%

发文量

期刊介绍： The Journal of International Accounting, Auditing and Taxation publishes articles which deal with most areas of international accounting including auditing, taxation and management accounting. The journal''s goal is to bridge the gap between academic researchers and practitioners by publishing papers that are relevant to the development of the field of accounting. Submissions are expected to make a contribution to the accounting literature, including as appropriate the international accounting literature typically found in JIAAT and other primary US-based international accounting journals as well as in leading European accounting journals. Applied research findings, critiques of current accounting practices and the measurement of their effects on business decisions, general purpose solutions to problems through models, and essays on world affairs which affect accounting practice are all within the scope of the journal.