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ADRs price discovery and transmission effect to domestic market: evidence from Indian ADRs

Aditya Keshari & Amit Gautam

Global Business and Economics Review2025https://doi.org/10.1504/gber.2025.146495article
AJG 1ABDC C
Weight
0.37

What the paper says

The price discovery of Indian ADRs is being provided for the sample period 2010-2022, using the SUR and FE-LSDV models, which incorporate contemporary factors as well as the dummy variables for their cross-sectional unit. The findings revealed that the underlying prices of shares influence ADR prices with the exchange rate and the stock market index where assets are being cross-listed. But the inclusion of dummy cross-sectional variables in the existing model enhances the predictability of the model and provides for better results. The second part of the study, which focuses on the ADR's transmission effect to the domestic market, is analysed through a fixed and random effect model, which establishes a significant relationship between the ADR portfolio and the domestic market portfolio. Thus, the study provides implications for investors who can diversify their portfolios to ADRs listed in developed country markets, i.e., the USA, by going beyond the conventional investing channels towards the emerging financial markets, which provide competitive returns over the short to long term.

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https://doi.org/https://doi.org/10.1504/gber.2025.146495

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@article{aditya2025,
  title        = {{ADRs price discovery and transmission effect to domestic market: evidence from Indian ADRs}},
  author       = {Aditya Keshari & Amit Gautam},
  journal      = {Global Business and Economics Review},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.1504/gber.2025.146495},
}

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Evidence weight

0.37

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.16 × 0.4 = 0.06
M · momentum0.53 × 0.15 = 0.08
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.