The market response to foreign cross-listings - An event study analysis of American Depositary Receipts

This dissertation investigates how different regions are financially integrated with the US capital markets and how the level of integration has changed over time. The research has been conducted by using an event study methodology to examine the impact on domestic stock prices following foreign cross-listings on US stock exchanges. A sample of 556 ADR programs initiated by companies from 38 countries between 1988 and 2002 has been analysed. During the test period all regions in the sample, at least to some extent, seemed to be segmented from the US markets. Three patterns could be observed regarding the integration process in the regions. While some have become more integrated over time, others show indications of experiencing a reverse development. A third category of regions seem to experience a minor or no development over time