Psychological barriers in the markets for ADRs and ETFs

dc.contributor.authorFonseca, Vítor
dc.contributor.authorLobão, Júlio
dc.contributor.authorPacheco, Luís Miguel
dc.date.accessioned2021-06-02T15:43:50Z
dc.date.available2021-06-02T15:43:50Z
dc.date.issued2021-05
dc.description.abstractPsychological Barriers are currently one of the most important topics of research in the field of Behavioral Finance, with several empirical studies published since the 1990’s on a variety of financial assets, such as stock indices, single stocks, bonds, derivatives and gold, among others. However, there is a lack of studies regarding the existence of psychological barriers in the ADRs and ETFs markets. This gap in the literature is surprising given the economic importance of these markets. For example, data from the Investment Company Institute shows that in 2018, almost 2,000 ETFs were listed in the US for assets worth the staggering figure of 3.4 trillion USD. Also, according to the Bank of New York Mellon, the combined trading value of listed depositary receipts on US exchanges in that same year reached the value of 4.2 trillion USD. In this chapter we examine for the first time the existence of psychological barriers in the markets for ADRs and ETFs. Our sample includes six of the most liquid assets in each of those two markets. We test for uniformity in the trailing digits of the daily closing prices and use regression and GARCH models to assess the differential impact of being above or below a possible barrier. The results evidence the existence of psychological barriers in only three of the assets under scrutiny, being one ADR (Vale On 1:1) and two ETFs (MSCI Brazil and Horizons Capital Dax Germany). Overall, we find our results to be consistent with the efficient market paradigm presented by Fama (1970). The remainder of this chapter is organized as follows: section 2 presents the literature review and section 3 addresses the methodological aspects, namely the data used in the study and the various methodological steps. The fourth section discusses the empirical results and the last section concludes the chapter.pt_PT
dc.identifier.citationFonseca, V., Lobão, J., & Pacheco, L. (2021). Psychological barriers in the markets for ADRs and ETFs. In J. Lobão (Eds.), New Advances in Behavioural Finance, (cap. 7, pp. 111-141). Cambridge: Cambridge Scholars Publishing. Disponível no Repositório UPT, http://hdl.handle.net/11328/3526pt_PT
dc.identifier.issn978-1-5275-6907-2
dc.identifier.urihttp://hdl.handle.net/11328/3526
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherCambridge Scholars Publishingpt_PT
dc.rightsopen accesspt_PT
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/pt_PT
dc.subjectPsychological barrierspt_PT
dc.subjectAmerican depositary receiptspt_PT
dc.subjectExchange-traded fundspt_PT
dc.titlePsychological barriers in the markets for ADRs and ETFspt_PT
dc.typebook partpt_PT
degois.publication.firstPage111pt_PT
degois.publication.lastPage141pt_PT
degois.publication.locationCambridgept_PT
degois.publication.titleNew Advances in Behavioural Financept_PT
dspace.entity.typePublicationen
person.familyNamePacheco
person.givenNameLuís Miguel
person.identifier.ciencia-idBF16-0EF2-107B
person.identifier.orcid0000-0002-9066-6441
person.identifier.ridE-5193-2010
person.identifier.scopus-author-id55945343700
relation.isAuthorOfPublicationa25aba90-4787-45a8-b908-646f24b32dfc
relation.isAuthorOfPublication.latestForDiscoverya25aba90-4787-45a8-b908-646f24b32dfc

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