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Return Linkages between Dual Listings under Arbitrage Restrictions: A Study of Indian Stocks and Their London Global Depositary Receipts.

Return Linkages between Dual Listings under Arbitrage Restrictions: A Study of Indian Stocks and Their London Global Depositary Receipts.

Authors :
Kadapakkam, Palani-Rajan
Misra, Lalatendu
Source :
Financial Review; Nov2003, Vol. 38 Issue 4, p611-633, 23p
Publication Year :
2003

Abstract

We examine the linkages between returns on Indian global depositary receipts (GDRs) in London and their underlying stocks in India. GDR returns are sensitive to returns observed earlier in India. This sensitivity is more pronounced for more liquid GDRs. Although arbitrage is not feasible for GDRs that sell at a premium, these GDRs are, nevertheless, sensitive to Indian returns. The sensitivity is greater for GDRs selling at a discount, where costly arbitrage is feasible. GDR returns have a significant but small effect on subsequent returns of the underlying stocks, with more liquid GDRs having a slightly greater impact. [ABSTRACT FROM AUTHOR]

Details

Language :
English
ISSN :
07328516
Volume :
38
Issue :
4
Database :
Complementary Index
Journal :
Financial Review
Publication Type :
Academic Journal
Accession number :
11017541
Full Text :
https://doi.org/10.1111/1540-6288.00063