Cointegration and causality-in-mean and variance tests: Evidence of price discovery for Brazilian cross-listed stocks
Keywords:
mecânica respiratória, movimentos toracoabdominais respiratórios, fotogrametria, crianças, instrumentação.Abstract
The purpose of this study is to investigate the price discovery process of 24 cross-listed stocks of Brazilian companies simultaneously traded on BM&FBOVESPA and NYSE stock exchanges. Cointegration methods and tests for causality-in-mean and causality-in-variance between the prices of stock-ADR pairs were used. Results indicated the existence of cointegration for most stock-ADR pairs. In addition, shortterm adjustments occurred in both markets. The causality-in-mean and causality-invariance tests showed bicausal relationships between the prices.
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