TY - JOUR
T1 - Depositary receipts, country funds, and the peso crash
T2 - The intraday evidence
AU - Bailey, Warren
AU - Chan, Kalok
AU - Chung, Y. Peter
N1 - Publication details (e.g. title, author(s), publication statuses and dates) are captured on an “AS IS” and “AS AVAILABLE” basis at the time of record harvesting from the data source. Suggestions for further amendments or supplementary information can be sent to [email protected].
PY - 2000
Y1 - 2000
N2 - We study the intraday impact of exchange rate news on emerging market American Depositary Receipts (ADRs) and closed-end country funds during the 1994 Mexican peso crisis. Peso exchange-rate changes affect prices and trading volumes of Latin American equities, and some closed-end fund behavior is consistent with "noise trader" theories of small investors. However, there is no evidence that peso depreciation triggers a significant sell-off of non-Mexican securities or that other non-Mexican trading patterns change at times of high peso news flow. Thus, the "Tequila Effect" is largely confined to price changes.
AB - We study the intraday impact of exchange rate news on emerging market American Depositary Receipts (ADRs) and closed-end country funds during the 1994 Mexican peso crisis. Peso exchange-rate changes affect prices and trading volumes of Latin American equities, and some closed-end fund behavior is consistent with "noise trader" theories of small investors. However, there is no evidence that peso depreciation triggers a significant sell-off of non-Mexican securities or that other non-Mexican trading patterns change at times of high peso news flow. Thus, the "Tequila Effect" is largely confined to price changes.
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U2 - 10.1111/0022-1082.00303
DO - 10.1111/0022-1082.00303
M3 - RGC 21 - Publication in refereed journal
SN - 0022-1082
VL - 55
SP - 2693
EP - 2717
JO - Journal of Finance
JF - Journal of Finance
IS - 6
ER -