An examination of international equity markets using American Depositary Receipts (ADRs)

American Depository Receipts (ADR) are dollar-denominated receipts for non-US shares that allow foreign investors to trade in international equity markets. ADRs have also been increasingly used by domestic investors to purchase foreign stocks. An analysis of the relationship across time between ADR portfolio returns indicated a lead/lag relationship. The highest lead/lag and therefore the greatest risk was observed in the UK ADR portfolio.