acase@tulane.edu / The relationship between microstructure, efficiency and data frequency give us a new opportunity to test information (e.g. events and news) efficiency assimilation for Mexican ADRs and their underlying Bolsa Mexicana de Valores (BMV) stocks It also allows to corroborate whether in emerging markets, specifically in the Mexican market, insider trading could be present but it may not be necessarily detected by market efficiency tools only. Using a proprietary dataset of Mexican Stock Exchange (Mexican Bolsa) intraday prices for underlying stocks and their respective Type II and III ADRs quoted in NASDAQ, AMEX and New York Stock Exchange, time series analysis related to price dynamics and event studies methodologies were applied. Non-linearity of the prices was tested, finding no statistical evidence of such behavior, which led to conclude linearity in them. Volatility transmission was also analyzed, finding that external shock can impact both markets having a recursive behavior; shocks in Mexican market has an impact also in American Market and vice versa. Using a standard Event Studies methodology we tested for nine different corporate events (dividends, changes in capital structure, acquisitions, mergers, takeovers, spin offs, sell offs, joint ventures and privatizations) and seven different classes of stocks in both markets, looking for parallelism in cumulative abnormal returns, volatility, trade volume and Granger causality. The results are a statistically significant behavior similar in both markets (for
both CARs and volatility). The evidence of Granger-causality in ADR / underlying stock was detected in both ways: underlying stocks Granger cause the ADRs and vice versa. The results corroborate a non-arbitrage behavior in both markets and no evidence of insider trading in ADRs / underlying stocks in both markets / 1 / Polux E. Diaz Ruiz
| Identifer | oai:union.ndltd.org:TULANE/oai:http://digitallibrary.tulane.edu/:tulane_75544 |
| Date | January 2017 |
| Contributors | Diaz Ruiz, Polux E. (author), Hansen, Robert (Thesis advisor), A.B. Freeman School of Business Finance (Degree granting institution) |
| Publisher | Tulane University |
| Source Sets | Tulane University |
| Language | English |
| Detected Language | English |
| Type | Text |
| Format | electronic, 87 |
| Rights | No embargo, Copyright is in accordance with U.S. Copyright law. |
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