000			01941nam a2200217 4500
999			_c52892 _d52892
003			OSt
005			20191121150841.0
008			191121b ||||| |||| 00| 0 eng d
100			_aMadhavan,Vinodh _935022
245			_aPrice and Volatility Linkages Between Indian Stocks and Their European GDRs
300			_a213S-237S p.
520			_aThis article tests for price and volatility linkages between Indian global depositary receipts (GDRs) traded in Luxembourg/London and their underlying shares traded in Mumbai. The relationship is studied between the GDR price and the domestic share price along with the appropriate exchange rates, the foreign stock index and the domestic stock index using the vector autoregression (VAR) and dynamic conditional correlation (DCC) specification of multivariate generalised autoregressive conditional heteroscedasticity (GARCH) models. VAR results indicate a similarity between the two prices of scrips: one trading in Mumbai and the other trading in Luxembourg (London). Further, DCC-GARCH model outcomes point to, by and large, a high-dynamic correlation between Indian GDRs traded in Luxembourg/London and their underlying stocks listed in Mumbai. Thus, the price and volatility linkages between the Indian stock and its European counterpart are invariant with respect to the choice of the foreign stock exchange. Such a similarity in findings, notwithstanding the difference in degree of information disclosure as well as listing requirements at London and Luxembourg, is perhaps indicative of the stock-exchange-invariant nature of law of one price.
653			_aDual listing
653			_aGDR,
653			_aIndia
653			_avector autoregression
653			_aDCC-GARCH
700			_a Ray,, Partha _935023
773	0		_029445 _977278 _aGANGOPADHYAY, SHUBHASIS _dNEW DELHI SAGE PUBLICATION PVT. LTD. _o55511089 _tJOURNAL OF EMERGING MARKET FINANCE _x0972-6527
942			_2ddc _cJA-ARTICLE