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Abstract
American Deposit Receipts (ADRs) are tools that have enabled companies to embark on internationalization processes through the issuance of shares targeted at investors in the U.S. market. Building on this premise, this research contributes to the characterization of ADRs and the Colombian market by identifying the nature of the relationship between the price of these assets through the estimation of VAR-X and VEC-X models and the impulse-response function analysis, an approach that has not yet been addressed in the local literature. The analysis period is specific to each security and, in general, spans from the initial listing of the ADR to the latest available date. Among the key findings is that ADR prices tend to “move” first and influence the price of shares in the local market within a timeframe of one to four months. This suggests that once companies are listed in the U.S. market, foreign investors dominate the movements of the security at the local level.
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