Linkages between the US and South Korea markets: evidence from the dually listed stocks

Document Type

Conference Proceeding


Faculty of Business and Public Management


School of Accounting, Finance and Business Economics




Lim, L. K. (2005). Linkages Between The US And South Korean Markets: Evidence From Dually Listed Stocks. In 2005 MODSIM International Congress on Modelling and Simulation.


Globalisation and reduction of restrictions on cross-border market listings have led to significant growth in cross-border capital flows between the US and all other countries. In making financial decisions with regard to investment and risk management, it is important for corporate management to understand the behaviour of information linkages and correlations between markets. Most studies focused on the dynamics of price transmission between American depository receipts (ADRs) and their underlying foreign securities in the developed markets and examined only the unidirectional effects of three pricing factors namely, the underlying shares, exchange rate, and the foreign markets, on the overseas listed shares such as ADRs based on a value- weighted portfolio.

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