Foreign exchange risk, world diversification and Taiwanese ADRs

Alan T. Wang; Sheng Yung Yang

doi:10.1080/1350485042000254629

Foreign exchange risk, world diversification and Taiwanese ADRs

Alan T. Wang, Sheng Yung Yang

Institute of Finance

Research output: Contribution to journal › Article › peer-review

6 Citations (Scopus)

Abstract

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 language	English
Pages (from-to)	755-758
Number of pages	4
Journal	Applied Economics Letters
Volume	11
Issue number	12
DOIs	https://doi.org/10.1080/1350485042000254629
Publication status	Published - 2004 Oct 10

All Science Journal Classification (ASJC) codes

Economics and Econometrics

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10.1080/1350485042000254629

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AB - 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.

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Foreign exchange risk, world diversification and Taiwanese ADRs

Abstract

All Science Journal Classification (ASJC) codes

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