Currency volatility and bid-ask spreads of ADRs and local shares

Alsayed, 2012, Arbitrage and the Law of One Price in the market for American Depositary Receipts, Journal of International Financial Markets, Institutions and Money, 22, 1258, 10.1016/j.intfin.2012.07.002 Amihud, 2002, Illiquidity and stock returns: cross-section and time-series effects, Journal of Financial Markets, 5, 31, 10.1016/S1386-4181(01)00024-6 Aquino, 2006, Price determinants of American Depositary Receipts (ADR): A cross-sectional analysis of panel data, Applied Financial Economics, 16, 1225, 10.1080/09603100500447503 Arellano, 1991, Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations, Review of Economic Studies, 58, 277, 10.2307/2297968 Banz, 1981, The relationship between return and market value of common stocks, Journal of Financial Economics, 9, 3, 10.1016/0304-405X(81)90018-0 Bartov, 1994, Firm valuation, earnings expectations, and the exchange-rate exposure effect, Journal of Finance, 49, 1755, 10.1111/j.1540-6261.1994.tb04780.x Benston, 1974, Determinants of the bid-asked spread in the over-the-counter market, Journal of Financial Economics, 1, 353, 10.1016/0304-405X(74)90014-2 Blundell, 1998, Initial conditions and moment restrictions in dynamic panel data models, Journal of Econometrics, 87, 115, 10.1016/S0304-4076(98)00009-8 Brennan, 1995, Investment analysis and price formation in securities markets, Journal of Financial Economics, 38, 361, 10.1016/0304-405X(94)00811-E Chordia, 2000, Commonality in liquidity, Journal of Financial Economics, 56, 3, 10.1016/S0304-405X(99)00057-4 Cohen, 1976, The determinants of stock returns volatility: An international comparison, Journal of Finance, 31, 733, 10.1111/j.1540-6261.1976.tb01917.x Corwin, 2012, A simple way to estimate bid-ask spreads from daily high and low prices, Journal of Finance, 67, 719, 10.1111/j.1540-6261.2012.01729.x Elliott, 2004, Evaluating significance: Comments on “Size matters.”, Journal of Socio-Economics, 33, 547, 10.1016/j.socec.2004.09.025 Ely, 2001, American Depositary Receipts: An analysis of international stock price movements, International Review of Financial Analysis, 10, 343, 10.1016/S1057-5219(01)00058-8 Gagnon, 2010, Multi-market trading and arbitrage, Journal of Financial Economics, 97, 53, 10.1016/j.jfineco.2010.03.005 Goodall, 1983, M-estimators of location: An outline of theory Harris, 1994, Minimum price variation, discrete bid-ask spreads, and quotation sizes, Review of Financial Studies, 7, 149, 10.1093/rfs/7.1.149 Hasbrouck, 2001, Common factors in prices, order flows, and liquidity, Journal of Financial Economics, 59, 383, 10.1016/S0304-405X(00)00091-X Holden, 2009, New low-frequency spread measures, Journal of Financial Markets, 12, 778, 10.1016/j.finmar.2009.07.003 Huber, 2011 Jorion, 1990, The exchange-rate exposure of US multinationals, Journal of Business, 331, 10.1086/296510 Keim, 1997, Transaction costs and investment style: An inter-exchange analysis of institutional equity trades, Journal of Financial Economics, 46, 265, 10.1016/S0304-405X(97)00031-7 Kim, 2000, Price transmission dynamics between ADRs and their underlying foreign securities, Journal of Banking & Finance, 24, 1359, 10.1016/S0378-4266(99)00076-X La Porta, 1998, Law and finance, Journal of Political Economy, 106, 1113, 10.1086/250042 Lesmond, 2005, Liquidity of emerging markets, Journal of Financial Economics, 77, 411, 10.1016/j.jfineco.2004.01.005 Lesmond, 1999, A new estimate of transaction costs, Review of Financial Studies, 12, 1113, 10.1093/rfs/12.5.1113 Pagano, 1989, Trading volume and asset liquidity, Quarterly Journal of Economics, 104, 255, 10.2307/2937847 Poshakwale, 2008, The dynamics of volatility transmission and information flow between ADRs and their underlying stocks, Global Finance Journal, 19, 187, 10.1016/j.gfj.2008.01.005 Reinganum, 1981, Misspecification of capital asset pricing: Empirical anomalies based on earnings' yields and market values, Journal of Financial Economics, 9, 19, 10.1016/0304-405X(81)90019-2 Roll, 1984, A simple implicit measure of the effective bid-ask spread in an efficient market, Journal of Finance, 39, 1127, 10.1111/j.1540-6261.1984.tb03897.x Stoll, 2000, Friction, Journal of Finance, 55, 1479, 10.1111/0022-1082.00259 Stoll, 1983, Transaction costs and the small firm effect, Journal of Financial Economics, 12, 57, 10.1016/0304-405X(83)90027-2 Suarez, 2005, Enforcing the Law of One Price: Nonlinear mean reversion in the ADR market, Managerial Finance, 31, 1, 10.1108/03074350510769776 Ziliak, 2004, Size matters: The standard error of regressions in the American Economic Review, Journal of Socio-Economics, 33, 527, 10.1016/j.socec.2004.09.024