Impact of Event in Cross-listed Market on the Stock Returns of ADR-listed Companies

Individuals, institutional investors, and management companies, are interested in tracking stock prices as they represent a company's value, which is affected by many micro and macroeconomic variables. The effect of these variables is more visible for companies that have had a cross-listing. In this study, we attempt to analyze the effects of ADR-listed stocks in the Indian market around a specific event - the September 11, 2001 attack. This event is chosen as it had a significant impact on the American stock exchanges with the Dow dropping by 14.2%, which in turn was expected to have a trickling effect on the domestic stock markets. The impact of this event on the risk and excess returns of the stock prices has been examined by comparing the means and variances of the excess returns in the 100 day pre-event and 100 day post-event. The risk parameter 'beta' was also compared for both pre and post-event periods. The results show that the domestic price returns of the companies' floating ADRs are not significantly affected by this specific event.