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Investigating the Relationship between ADR, Stock Prices and Macroeconomic Indicators: The Case of Türkiye

Year 2025, Volume: 10 Issue: 2, 529 - 548, 30.06.2025

Çağrı Kaan Yalçın , Levent Sezal , Özge Korkmaz , Sedat Yenice

https://doi.org/10.30784/epfad.1599858

Abstract

American Depositary Receipts (ADRs), which are traded through depositary receipt management by accepting the stock as an underlying asset, have become a frequently used investment instrument today. Since ADRs are linked to the underlying stock, there are multiple variables in determining their price. The effects of these variables on the ADR price may lead to an arbitrage gain between the underlying stock and the ADR return. The aim of the study is to identify the indicators affecting the Turkish ADR prices and to reveal the existence of arbitrage opportunities in ADRs. In the study, economic indicators affecting the price of Turkish ADRs were identified. Exchange rate, CDS premium, and various stock market indices were selected as economic indicators to be used in the analysis. Regression analysis was used in the study, where daily data were used between 2014 and 2024. As a result of the study on eight different ADRs, it is determined that the return differences between ADRs and stocks are affected by various economic indicators. Moreover, the fact that this difference does not follow a random walk, i.e., it is predictable, provides evidence that the ADR market is inefficient within the framework of the efficient market hypothesis.

Keywords

ADR Macroecomomic Indicators Arbitrage

References

  • Bae, C.S., Kwon, T.H. and Li, M. (2008). Foreign exchange rate exposure and risk premium in international investments: Evidence from American depositary receipts. Journal of Multinational Financial Management, 18(1), 165-179. https://doi.org/10.1016/j.mulfin.2007.07.001
  • Bandopadhyaya, A. and Chugh, L. and Grant, C. (2008). ADR characteristics and performance in international and global indexes. Journal of Asset Management, 10(1), 9–21. https://doi.org/10.1057/jam.2008.38
  • Bin, F., Morris, B.G. and Chen, D. (2003). Effects of exchange-rate and interest-rate risk on ADR pricing behavior. North American Journal of Economics and Finance, 14(2), 241-262. https://doi.org/10.1016/S1062-9408(03)00002-0
  • Bloomberg. (2024). Bloomberg financial database [Dataset]. Retrieved from https://www.bloomberg.com/markets/stocks
  • Callaghan, S.R, and Barry, C.B. (2003). Tax-induced trading of equity securities: Evidence from the ADR market. The Journal of Finance, 58(4), 1583-1612. https://doi.org/10.1111/1540-6261.00578
  • Chen, S.C., Chou, Y. and Wei, P. (2020). Country factors in earnings management of ADR firms. Finance Research Letters, 32, 24-30. https://doi.org/10.1016/j.frl.2019.04.003
  • Chen, J., Tse, Y. and Williams, M. (2009). Trading location and equity returns: Evidence from US trading of British cross-listed firms. Journal of International Financial Markets, Institutions and Money, 19(5), 729-741.
  • Chung, H. (2006). Investor protection and the liquidity of cross-listed securities: Evidence from the ADR market. Journal of Banking & Finance, 30, 1485-1505. https://doi.org/10.1016/j.jbankfin.2005.03.021
  • Cihangir, M. and Kandemir, K. (2010). Finansal kriz dönemlerinde hisse senetleri getirilerini etkileyen makroekonomik faktörlerin arbitraj fiyatlandirma modeli araciliğiyla saptanmasina yönelik bir çalişma (Kasım 2000 ve Şubat 2001 finansal krizleri üzerine değerlendirme ve gözlemler). Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 15(1), 257-296. Retrieved from https://dergipark.org.tr/tr/pub/sduiibfd
  • Dickey, D.A. and Fuller, W.A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366), 427-431. https://doi.org/10.2307/2286348
  • Dickey, D.A. and Fuller, W.A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49(4), 1057-1072. https://doi.org/10.2307/1912517
  • Ejara, D.D. and Ghosh, C. (2004). Underpricing and aftermarket performance of American depositary receipts (ADR) IPOs. Journal of Banking & Finance, 28, 3151-3186. https://doi.org/10.1016/j.jbankfin.2004.05.006
  • Ercan, M.K. and Ban, Ü. (2016). Finansal yönetim (9th ed.). Ankara: Gazi Kitapevi.
  • Esqueda, O.A. and Jackson, D.O. (2012). Currency depreciation effects on ADR returns: Evidence from Latin America. Journal of Economics and Finance, 36(3), 691-711. Retrieved from https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2143674
  • Fama E.F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383-417. https://doi.org/10.2307/2325486
  • Fang, H. and Loo, C.H. (2002). Pricing of American depositary receipts under market segmentation. Global Finance Journal, 13, 234-252. https://doi.org/10.1016/S1044-0283(02)00044-3
  • Figueiredo, A. and Parhizgari, A.M. (2017). Contemporaneous ADR pricing: Intraday dynamics during overlapping trading hours. The European Journal of Finance, 24(3), 183-207. https://doi.org/10.1080/1351847X.2017.1292935
  • Gorbatikov, E. and Dobrynskaya, V. (2019). Asymmetric arbitrage opportunities for cross-listed stocks: Evidence from Russia. Emerging Markets Finance and Trade, 56(6), 1402-1422. https://doi.org/10.1080/1540496X.2018.1564276
  • Grossman, A. and Ngo, T. (2020). Economic policy uncertainty and ADR Mispricing. Journal of Multinational Financial Management, 55, 101-120. https://doi.org/10.1016/j.mulfin.2020.100627
  • Gujarati, D. and Porter, D. (2012). Temel ekonometri. (Trans. Ü. Şenesen and G.G. Şenesen). İstanbul: Literatür Yayıncılık.
  • Gupta, R. and Yuan, T. and Roca, E. (2016). linkages between the ADR market and home country macroeconomic fundamentals: Evidence in the context of the BRICs. International Review of Financial Analysis, 45, 230-239. https://doi.org/10.1016/j.irfa.2016.04.004
  • Hasbrouck, J. (1995). One security, many markets: Determining the contributions to price discovery. Journal of Finance, 50(4), 1175-1199. https://doi.org/10.2307/2329348
  • Howe, J.S. and Ragan, K.P. (2002). Price discovery and the international flow of information, Journal.of International Financial Markets, 12(1), 201-215. https://doi.org/10.1016/S1042-4431(02)00003-3
  • Investing. (2024). Investing Türkiye [Dataset]. Retrieved from https://tr.investing.com/equities/world-adrs
  • Jun, A. and Partington, A.G. (2014). Taxes, international clienteles and the value of ADR dividends. Journal of Business Finance&Accounting, 41(9), 1337-1360. https://doi.org/10.1111/jbfa.12088
  • Karan, M.B. (2004). Yatırım analizi ve portföy yönetimi (8th ed.). Ankara: Gazi Kitapevi
  • Kaygın, C.Y. and Barut, A. (2020). Çifte kayitli hisse senetlerinin fiyatlarini etkileyen içsel faktörlerin dinamik panel veri analizi ile belirlenmesi. Ekonomi, Politika & Finans Araştırmaları Dergisi, 5(3), 805-821. https://doi.org/10.30784/epfad.773057
  • Koumkwa, S. and Susmel, R. (2019). Arbitrage and convergence: Evidence from mexican ADRs. Journal of Applied Economics, 11(2), 399-425. Retrieved from https://econpapers.repec.org/
  • Malkiel, B.G. and Fama, E.F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25, 383-417. https://doi.org/10.2307/2325486
  • Mitra, S., Chinthalapati, V.L.R., Clark, E. and McGroarty, F. (2019). Stock-ADR arbitrage: Microstructure risk. Journal of International Financial Markets, Institutions & Money, 63, 1-15. https://doi.org/10.1016/j.intfin.2019.08.004
  • Muscarella, C.J. and Vetsuypens, M.R. (1996). Stock splits: signaling or liquidity? The case of ADR solo-splits. Journal of Financial Economics, 42, 3-26. https://doi.org/10.1016/0304-405X(95)00872-C
  • Nguyen, T., Stalin, O., Diagne, D. and Aukea, L. (2017). The capital asset pricing model and the arbitrage pricing theory (Gothenburg University Financial Risk Working Paper No. 400). Retrieved from https://www.math.chalmers.se/Stat/Grundutb/CTH/mve220/1617/CAPT.pdf
  • Pan, L., Lin, C. and Chen, K.C. (2012). ADR characteristics and corporate governance in the greater China region. Review of Development Finance, 2, 43-52. https://doi.org/10.1016/j.rdf.2012.05.002
  • Peterson, C.A. and O'Shaughnessy, K.C. (2007). Financial investment via ADRs in mexico and South America. International Journal of Public Administration, 23(5-8), 1229-1252. Retrieved from https://www.cepal.org/
  • Phillips, P. and Perron P. (1988). Testing for a unit root in time series regression. Biometrica, 75, 335-46. https://doi.org/10.2307/2336182
  • Poshakwale, S.S. and Aquino, K.P. (2008). The dynamics of volatility transmission and information flow between adrs and their underlying stocks. Global Finance Journal, 19, 187-201. https://doi.org/10.1016/j.gfj.2008.01.005
  • Ross, S.A. (1976). The Arbitrage theory of capital asset pricing. Journal of Economic Theory, 13(3), 341-360. https://doi.org/10.1016/0022-0531(76)90046-6
  • Şencan, İ. (2021). Türk ADR'leri ve dayanak pay senetleri arasindaki volatilite yayiliminin analizi. Academic Knowledge, 4(2), 179-189. https://doi.org/10.5281/zenodo.5808933
  • Suarez, E.D. (2005). Arbitrage opportunities in the depositary receipts market: myth or reality? International Finanacial Markets, Instutions and Money, 15, 469-480. https://doi.org/10.1016/j.intfin.2004.11.001
  • Tong, S., Murtagh, J. and Proctor, R. (2022). Do ADR firms have different dividend policies than U.S. firms? A comparative study. International Journal of Financial Studies, 10(1), 14-25. https://doi.org/10.3390/ijfs10010014
  • Wooldridge, J. (2013). Introductory econometrics: A modern approach (5th ed.). Boston: M.A. South-Western Cengage Learning.

ADR ve Hisse Senetleri Fiyatlarının Makroekonomik Göstergeler ile Arasındaki İlişkinin Belirlenmesi: Türkiye Örneği

Year 2025, Volume: 10 Issue: 2, 529 - 548, 30.06.2025

Çağrı Kaan Yalçın , Levent Sezal , Özge Korkmaz , Sedat Yenice

https://doi.org/10.30784/epfad.1599858

Abstract

Hisse senedini dayanak varlık olarak kabul edip depo sertifası yönetimiyle işlem gören American Depositary Receipts (ADR) günümüzde sık kullanılan bir yatırım aracı haline gelmiştir. ADR’ lerin dayanak hisse senedine bağlı olması nedeniyle fiyatının belirlenmesinde birden çok değişken mevcuttur. Bu değişkenlerin ADR fiyatına etkileri temel hisse senedi ile ADR getirisi arasında bir arbitraj kazancına yol açabilme olasılığı taşımaktadır. Çalışmanın amacı, Türkiye ADR fiyatlarına etki eden göstergelerin tespit edilerek ADR’ lerin arbitraj fırsatlarının mevcudiyetini ortaya koymaktır. Araştırmada Türkiye ADR’ lerinin fiyatını etkileyen ekonomik göstergeler tespit edilmiştir. Analizde kullanılmak üzere ekonomik gösterge olarak; döviz kuru, CDS primi, çeşitli borsa endeksleri seçilmiştir. 2014-2024 yılları arasında günlük verilerin kullanıldığı çalışmada Regresyon yöntemi kullanılmıştır. Sekiz farklı ADR üzerine yapılan çalışma sonucunda ADR ile hisse senedinin getiri farklılıklarının çeşitli ekonomik göstergelerden etkilendiği tespit edilmiştir. Ayrıca bu farklılığın rastgele bir yürüyüş izlememesi yani tahmin edilebilir olması, etkin piyasa hipotezi çerçevesinde ADR piyasasının etkin olmadığına yönelik kanıtlar sunmaktadır.

Keywords

ADR Macroekonomik Göstergeler Arbitraj

References

  • Bae, C.S., Kwon, T.H. and Li, M. (2008). Foreign exchange rate exposure and risk premium in international investments: Evidence from American depositary receipts. Journal of Multinational Financial Management, 18(1), 165-179. https://doi.org/10.1016/j.mulfin.2007.07.001
  • Bandopadhyaya, A. and Chugh, L. and Grant, C. (2008). ADR characteristics and performance in international and global indexes. Journal of Asset Management, 10(1), 9–21. https://doi.org/10.1057/jam.2008.38
  • Bin, F., Morris, B.G. and Chen, D. (2003). Effects of exchange-rate and interest-rate risk on ADR pricing behavior. North American Journal of Economics and Finance, 14(2), 241-262. https://doi.org/10.1016/S1062-9408(03)00002-0
  • Bloomberg. (2024). Bloomberg financial database [Dataset]. Retrieved from https://www.bloomberg.com/markets/stocks
  • Callaghan, S.R, and Barry, C.B. (2003). Tax-induced trading of equity securities: Evidence from the ADR market. The Journal of Finance, 58(4), 1583-1612. https://doi.org/10.1111/1540-6261.00578
  • Chen, S.C., Chou, Y. and Wei, P. (2020). Country factors in earnings management of ADR firms. Finance Research Letters, 32, 24-30. https://doi.org/10.1016/j.frl.2019.04.003
  • Chen, J., Tse, Y. and Williams, M. (2009). Trading location and equity returns: Evidence from US trading of British cross-listed firms. Journal of International Financial Markets, Institutions and Money, 19(5), 729-741.
  • Chung, H. (2006). Investor protection and the liquidity of cross-listed securities: Evidence from the ADR market. Journal of Banking & Finance, 30, 1485-1505. https://doi.org/10.1016/j.jbankfin.2005.03.021
  • Cihangir, M. and Kandemir, K. (2010). Finansal kriz dönemlerinde hisse senetleri getirilerini etkileyen makroekonomik faktörlerin arbitraj fiyatlandirma modeli araciliğiyla saptanmasina yönelik bir çalişma (Kasım 2000 ve Şubat 2001 finansal krizleri üzerine değerlendirme ve gözlemler). Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 15(1), 257-296. Retrieved from https://dergipark.org.tr/tr/pub/sduiibfd
  • Dickey, D.A. and Fuller, W.A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366), 427-431. https://doi.org/10.2307/2286348
  • Dickey, D.A. and Fuller, W.A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49(4), 1057-1072. https://doi.org/10.2307/1912517
  • Ejara, D.D. and Ghosh, C. (2004). Underpricing and aftermarket performance of American depositary receipts (ADR) IPOs. Journal of Banking & Finance, 28, 3151-3186. https://doi.org/10.1016/j.jbankfin.2004.05.006
  • Ercan, M.K. and Ban, Ü. (2016). Finansal yönetim (9th ed.). Ankara: Gazi Kitapevi.
  • Esqueda, O.A. and Jackson, D.O. (2012). Currency depreciation effects on ADR returns: Evidence from Latin America. Journal of Economics and Finance, 36(3), 691-711. Retrieved from https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2143674
  • Fama E.F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383-417. https://doi.org/10.2307/2325486
  • Fang, H. and Loo, C.H. (2002). Pricing of American depositary receipts under market segmentation. Global Finance Journal, 13, 234-252. https://doi.org/10.1016/S1044-0283(02)00044-3
  • Figueiredo, A. and Parhizgari, A.M. (2017). Contemporaneous ADR pricing: Intraday dynamics during overlapping trading hours. The European Journal of Finance, 24(3), 183-207. https://doi.org/10.1080/1351847X.2017.1292935
  • Gorbatikov, E. and Dobrynskaya, V. (2019). Asymmetric arbitrage opportunities for cross-listed stocks: Evidence from Russia. Emerging Markets Finance and Trade, 56(6), 1402-1422. https://doi.org/10.1080/1540496X.2018.1564276
  • Grossman, A. and Ngo, T. (2020). Economic policy uncertainty and ADR Mispricing. Journal of Multinational Financial Management, 55, 101-120. https://doi.org/10.1016/j.mulfin.2020.100627
  • Gujarati, D. and Porter, D. (2012). Temel ekonometri. (Trans. Ü. Şenesen and G.G. Şenesen). İstanbul: Literatür Yayıncılık.
  • Gupta, R. and Yuan, T. and Roca, E. (2016). linkages between the ADR market and home country macroeconomic fundamentals: Evidence in the context of the BRICs. International Review of Financial Analysis, 45, 230-239. https://doi.org/10.1016/j.irfa.2016.04.004
  • Hasbrouck, J. (1995). One security, many markets: Determining the contributions to price discovery. Journal of Finance, 50(4), 1175-1199. https://doi.org/10.2307/2329348
  • Howe, J.S. and Ragan, K.P. (2002). Price discovery and the international flow of information, Journal.of International Financial Markets, 12(1), 201-215. https://doi.org/10.1016/S1042-4431(02)00003-3
  • Investing. (2024). Investing Türkiye [Dataset]. Retrieved from https://tr.investing.com/equities/world-adrs
  • Jun, A. and Partington, A.G. (2014). Taxes, international clienteles and the value of ADR dividends. Journal of Business Finance&Accounting, 41(9), 1337-1360. https://doi.org/10.1111/jbfa.12088
  • Karan, M.B. (2004). Yatırım analizi ve portföy yönetimi (8th ed.). Ankara: Gazi Kitapevi
  • Kaygın, C.Y. and Barut, A. (2020). Çifte kayitli hisse senetlerinin fiyatlarini etkileyen içsel faktörlerin dinamik panel veri analizi ile belirlenmesi. Ekonomi, Politika & Finans Araştırmaları Dergisi, 5(3), 805-821. https://doi.org/10.30784/epfad.773057
  • Koumkwa, S. and Susmel, R. (2019). Arbitrage and convergence: Evidence from mexican ADRs. Journal of Applied Economics, 11(2), 399-425. Retrieved from https://econpapers.repec.org/
  • Malkiel, B.G. and Fama, E.F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25, 383-417. https://doi.org/10.2307/2325486
  • Mitra, S., Chinthalapati, V.L.R., Clark, E. and McGroarty, F. (2019). Stock-ADR arbitrage: Microstructure risk. Journal of International Financial Markets, Institutions & Money, 63, 1-15. https://doi.org/10.1016/j.intfin.2019.08.004
  • Muscarella, C.J. and Vetsuypens, M.R. (1996). Stock splits: signaling or liquidity? The case of ADR solo-splits. Journal of Financial Economics, 42, 3-26. https://doi.org/10.1016/0304-405X(95)00872-C
  • Nguyen, T., Stalin, O., Diagne, D. and Aukea, L. (2017). The capital asset pricing model and the arbitrage pricing theory (Gothenburg University Financial Risk Working Paper No. 400). Retrieved from https://www.math.chalmers.se/Stat/Grundutb/CTH/mve220/1617/CAPT.pdf
  • Pan, L., Lin, C. and Chen, K.C. (2012). ADR characteristics and corporate governance in the greater China region. Review of Development Finance, 2, 43-52. https://doi.org/10.1016/j.rdf.2012.05.002
  • Peterson, C.A. and O'Shaughnessy, K.C. (2007). Financial investment via ADRs in mexico and South America. International Journal of Public Administration, 23(5-8), 1229-1252. Retrieved from https://www.cepal.org/
  • Phillips, P. and Perron P. (1988). Testing for a unit root in time series regression. Biometrica, 75, 335-46. https://doi.org/10.2307/2336182
  • Poshakwale, S.S. and Aquino, K.P. (2008). The dynamics of volatility transmission and information flow between adrs and their underlying stocks. Global Finance Journal, 19, 187-201. https://doi.org/10.1016/j.gfj.2008.01.005
  • Ross, S.A. (1976). The Arbitrage theory of capital asset pricing. Journal of Economic Theory, 13(3), 341-360. https://doi.org/10.1016/0022-0531(76)90046-6
  • Şencan, İ. (2021). Türk ADR'leri ve dayanak pay senetleri arasindaki volatilite yayiliminin analizi. Academic Knowledge, 4(2), 179-189. https://doi.org/10.5281/zenodo.5808933
  • Suarez, E.D. (2005). Arbitrage opportunities in the depositary receipts market: myth or reality? International Finanacial Markets, Instutions and Money, 15, 469-480. https://doi.org/10.1016/j.intfin.2004.11.001
  • Tong, S., Murtagh, J. and Proctor, R. (2022). Do ADR firms have different dividend policies than U.S. firms? A comparative study. International Journal of Financial Studies, 10(1), 14-25. https://doi.org/10.3390/ijfs10010014
  • Wooldridge, J. (2013). Introductory econometrics: A modern approach (5th ed.). Boston: M.A. South-Western Cengage Learning.
There are 41 citations in total.

Details

Primary Language English
Subjects International Finance, Financial Economy, Finance, Financial Econometrics
Journal Section Makaleler
Authors

Çağrı Kaan Yalçın 0000-0001-8725-6559

Levent Sezal 0000-0002-8873-7335

Özge Korkmaz 0000-0001-9275-1271

Sedat Yenice 0000-0003-4232-329X

Publication Date June 30, 2025
Submission Date December 11, 2024
Acceptance Date April 17, 2025
Published in Issue Year 2025 Volume: 10 Issue: 2

Cite

APA Yalçın, Ç. K., Sezal, L., Korkmaz, Ö., Yenice, S. (2025). Investigating the Relationship between ADR, Stock Prices and Macroeconomic Indicators: The Case of Türkiye. Ekonomi Politika Ve Finans Araştırmaları Dergisi, 10(2), 529-548. https://doi.org/10.30784/epfad.1599858
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