Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/253777 
Authors: 
Year of Publication: 
2019
Citation: 
[Journal:] Journal of Economics, Finance and Administrative Science [ISSN:] 2218-0648 [Volume:] 24 [Issue:] 48 [Publisher:] Emerald Publishing Limited [Place:] Bingley [Year:] 2019 [Pages:] 241-265
Publisher: 
Emerald Publishing Limited, Bingley
Abstract: 
The literature provides extensive evidence for seasonality in stock market returns, but is almost non-existent concerning the potential seasonality in American depository receipts (ADRs). To fill this gap, this paper aims to examine a number of seasonal effects in the market for ADRs. Design/methodology/approach The paper examines four ADRs for the period from April 1999 to March 2017 to look for signs of eight important seasonal anomalies. The authors follow the standard methodology of using dummy variables for the time period of interest to capture excess returns. For comparison, the same analysis on two US stock market indices is conducted. Findings The results show the presence of a highly significant pre-holiday effect in all return series, which does not seem to be justified by risk. Moreover, turn-of-the-month effects, monthly effects and day-of-the-week effects were detected in some of the ADRs. The seasonality patterns under analysis tended to be stronger in emerging market-based ADRs. Research limitations/implications Overall, the results show that significant seasonal patterns were present in the price dynamics of ADRs. Moreover, the findings lend support to the idea that emerging markets are less efficient than developed stock markets. Originality/value This is the most comprehensive study to date for indication of seasonal anomalies in the market for ADRs. The authors use an extensive sample that includes recent significant financial events such as the 2007/2008 financial crisis and consider ADRs with different characteristics, which allows to draw comparisons between the differential price dynamics arising in developed market-based ADRs and in the ADRs whose underlying securities are traded in emerging markets.
Subjects: 
Competitive advantage
Emerging markets
American depository receipts
Seasonal anomalies
Market ef&#xfb01
ciency
Developed markets
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article

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