Determinants of American Depository Receipts: A Bayesian Panel Data Approach

  • 阮 映?

Student thesis: Doctoral Thesis


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
Date of Award2020
Original languageEnglish
SupervisorMiin-Jye Wen (Supervisor)

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