||Determinants of American Depository Receipts: A Bayesian Panel Data Approach.
||Determinants of American Depository Receipts: A Bayesian Panel Data Approach.
||Institute of International Management
|| ANH-HONG NGUYEN
The term “globalization” has more and more become popular all over the aspects of the world. In the equity market, people expect an integrated and efficient market when many multinational companies find a way to list their stocks in an overseas market. The starting point of American Depository Receipts is in 1973 and this market has been growing quickly since the 1990s with 836 ADRs, and only after 10 years, the number has almost double. However, in contrast to the investors’ expectations, the more companies cross-listed, the more evidence proved that the market is becoming separated. On the other hand, with the exploration of the big data era, some fundamental issues of statistics have been emerging, one of these is model uncertainty. That context has motivated our research, by applying the Bayesian Model Average – one branch of Bayesian inference to overcome the model uncertainty challenge, we find out the robust determinants of ADR mispricing, which is partly present the extent to which the market is integrated.
TABLE OF CONTENTS III
LIST OF TABLES V
LIST OF FIGURES VI
CHAPTER ONE INTRODUCTION 1
1.1 Research Background. 1
1.1.1 Globalization in Finance. 1
1.1.2 Bayesian Model Application and Big Data. 2
1.2 Research Motivation and Research Question. 2
1.3 Research Contribution. 3
1.4 Research Structure. 4
CHAPTER TWO LITERATURE REVIEW 5
2.1 Theoretical Framework and Conceptualization 5
2.2 Hypothesis Development. 9
2.2.1 No evidence. 9
2.2.2 Evidence. 10
2.2.3 Firm-level factors. 10
2.2.4 Country-level factors. 13
2.2.5 Cross-market factors. 16
CHAPTER THREE RESEARCH DESIGN AND METHODOLOGY 21
3.1 Data Collection. 21
3.2 Data Analysis. (Measurement) 24
3.2.1 Dependent Variable for the ADRs' mispricing. 24
3.2.2 Independent Variables. 24
3.3 Methodology. 28
3.3.1 Model Uncertainty 28
3.3.2 Bayesian Modeling Average 30
3.4 Model Specification 37
3.5 Software package 39
CHAPTER FOUR RESEARCH RESULTS 40
4.1 ADRs mispricing. 40
4.2 Descriptive Statistics. 43
4.3 Correlation. 45
4.4 Results. 47
CHAPTER FIVE CONCLUSION AND SUGGESTIONS 55
5.1 Conclusion. 55
5.2 Limitations and Challenges. 55
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