Foreign exchange risk, world diversification and Taiwanese ADRs

Alan T. Wang, Sheng Yung Yang

Research output: Contribution to journalArticlepeer-review

6 Citations (Scopus)


This study tries to answer the following question: Should the US investors purchase American depository receipts (ADRs) issued by Taiwanese multinationals? The conditional international asset pricing model of Dumas and Solnik (Journal of Finance, 50, 445-79, 1995) is applied to price these Taiwanese American depository receipts (ADRs). Empirical results show that foreign exchange risk is priced in Taiwanese ADRs. Moreover, Taiwanese ADRs are shown to help US investors diversify their portfolios globally. These findings suggest that Taiwanese ADRs are valid investment tools for US investors who seek international diversifications.

Original languageEnglish
Pages (from-to)755-758
Number of pages4
JournalApplied Economics Letters
Issue number12
Publication statusPublished - 2004 Oct 10

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics


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