The Impact of Depositary Receipts Listing in the Stock Exchange of Thailand on Abnormal Returns of Underlying Securities of Vietnam and Singapore
Keywords:
Listing, Depositary Receipt, Abnormal Return, Underlying Security, Event Study, ASEANAbstract
This study aims to examine the impact of depositary receipts listing in the Stock Exchange of Thailand on the abnormal returns of the underlying securities of Vietnam and Singapore, covering the period from September 2023 to September 2025. This study is quantitative research using secondary data from the daily closing prices of 15 underlying securities of common stocks in Vietnam and Singapore that are listed as 18 events of DR on the Stock Exchange of Thailand. An event study methodology is applied to analyze abnormal returns of underlying securities. For data analysis, this study employs three models including the Mean Adjusted Return Model, the Market Adjusted Return Model, and the Market Model, to calculate abnormal returns over ±7-day and ±30-day periods. The t-statistic is used in hypothesis testing to determine statistical significance. The results demonstrate that according to the Market Adjusted Return Model and Market Model, there are statistically significant cumulative average abnormal returns at the 1% level of underlying securities of Vietnam listing as DRs on the Stock Exchange of Thailand during the ±7-day period (-7, +7). Moreover, according to the Mean Adjusted Return Model, there are statistically significant cumulative average abnormal returns at the 5% level of underlying securities of Singapore. Specifically, the empirical evidence displays the positive results for both countries. However, when considering the ±30-day period (-30, +30), underlying securities of Vietnam show statistically significant cumulative average abnormal returns according to the Market Adjusted Return Model at the 10% level and Market Model at the 5% level, with the negative cumulative average abnormal returns for both models. In contrast, underlying securities of Singapore do not show statistically significant results.
References
ตลาดหลักทรัพย์แห่งประเทศไทย. (2565). ข้อมูลลักษณะผลิตภัณฑ์ DR. https://www.set.or.th/th/market/product/dr/introduction
ตลาดหลักทรัพย์แห่งประเทศไทย. (2566, 27 พฤศจิกายน). ตลาดหลักทรัพย์ฯ ร่วมมือตลาดหลักทรัพย์สิงคโปร์ เดินหน้า DR Linkage ไทย-สิงคโปร์ เปิดซื้อขาย DR ต่อเนื่องเพิ่มทางเลือกผู้ลงทุน. https://www.set.or.th/th/about/mediacenter/news-release/article/384-thailand-singapore-dr-linkage-
ตลาดหลักทรัพย์แห่งประเทศไทย. (2568). ข้อมูลการซื้อขาย DR. https://www.set.or.th/th/market/product/dr/marketdata
ธนาคารแห่งประเทศไทย. (2566). สมาคมประชาชาติแห่งเอเชียตะวันออกเฉียงใต้ (ASEAN). https://www.bot.or.th/th/our-roles/international-cooperation/regionalfora/asean.html#accordion-295527e354-item-859511a7ce
รัฐศรัณย์ ธนไพศาลกิจ และฐิติเมธ โภคชัย. (2566). DR-DW-ETF ทางเลือกลงทุน เพิ่มโอกาสผลตอบแทน (Investment Guide ฉบับที่ 12). ตลาดหลักทรัพย์แห่งประเทศไทย. https://media.setinvestnow.com/setinvestnow/Documents/2023/Oct/TSI_eBook_059_Inv_Investment-Guide-12-Oct-2023.pdf
สมาคมบริษัทหลักทรัพย์ไทย. (ม.ป.ป.). Depository Receipt (DR)...อีกหนึ่งทางเลือกของการลงทุนในหลักทรัพย์ต่างประเทศ. https://www.asco.or.th/uploads/upfiles/files/ASCO%20article_DR.pdf
Akerlof, G. A. (1970). The market for “lemons”: Quality uncertainty and the market mechanism. The Quarterly Journal of Economics, 84(3), 488–500. https://www.sfu.ca/~wainwrig/Econ400/akerlof.pdf
Atje, R., & Titiheruw, I. S. (2016, October). ASEAN capital market integration: The way forward (Economics Working Paper 01-2016). Centre for Strategic and International Studies (CSIS). https://s3-csis-web.s3.ap-southeast-1.amazonaws.com/doc/ASEAN_Capital_Market_Integration_-_The_Way_Forward.pdf?download=1
Baker, M., & Wurgler, J. (2007). Investor sentiment in the stock market. Journal of Economic Perspectives, 21(2), 129–151. https://doi.org/10.1257/jep.21.2.129
Bekaert, G., & Harvey, C. R. (2003). Emerging markets finance. Journal of Empirical Finance, 10(1–2), 3–55. https://doi.org/10.1016/S0927-5398(02)00054-3
Brown, S. J., & Warner, J. B. (1985). Using daily stock returns: The case of event studies. Journal of Financial Economics, 14(1), 3–31. https://doi.org/10.1016/0304-405X(85) 90042-X
Chaturvedula, C. (2018). The effect of ADR & GDR listing on shareholder's wealth: Evidence from India. Accounting and Finance Research, 7(2), 174-182. https://doi.org/10.5430/afr.v7n2p174
Citibank. (2018, November). The role of the Depositary Bank: A resource for Issuers in the U.S. and Global Securities Markets. https://www.citibank.com/mss/sa/flippingbook/2018/The-Role-of-the-DepositaryBank/files/assets/common/downloads/The%20Role%20of%20the%20Depositary%20Bank.pdf
De Silva, N. (2004). The market response to American Depositary Receipts [Master’s Thesis, Lund University]. https://lup.lub.lu.se/luur/download?func=downloadFile&recordOId=1337555&fileOId=1646455
Errunza, V. & Losq, E. (1985). International asset pricing under mild segmentation: Theory and tests. The Journal of Finance, 40(1), 105-124. https://www.mcgill.ca/desautels/files/desautels/errunza-and-losq-1985.pdf
Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journalof Finance, 25(2), 383–417. https://doi.org/10.2307/2325486
Fama, E. F., Fisher, L., Jensen, M. C., & Roll, R. (1969). The Adjustment of Stock Prices to New Information. International Economic Review, 10(1), 1–21. https://doi.org/10.2307/2525569
Foerster, S. R., & Karolyi, G. A. (1999). The effects of market segmentation and investorrecognition on asset prices: Evidence from foreign stocks listing in the United States. The Journal of Finance, 54(3), 981–1013. https://www.jstor.org/stable/222432?seq=1
Gabriel, B., & Majerowska, E. (2021). Market segmentation theory versus issues of American Depositary Receipts. Results of empirical research of companies listed on the Warsaw Stock Exchange. Studia Prawno-Ekonomiczne, 120, 179–196. https://doi.org/10.26485/SPE/2021/120/10
Holler, J. (2014). Event-study methodology and statistical significance. O1WIR Publisher for Economics, Computer Science and Law.
Hwang, J. D. (2013). Are there valuation and operating performance gains from international cross listing? Evidence from Taiwan’s depositary receipt issuers. Eurasian Business Review, 3(2), 137–163. https://link.springer.com/article/10.14208/ebr.2013.03.02.002
Karolyi, G. A. (2012). Corporate governance, agency problems and international cross- listings: A defense of the bonding hypothesis. Emerging Markets Review, 13(4), 516–547. https://doi.org/10.1016/j.ememar.2012.08.001
Kung, J. J., & Wong, W. K. (2009). Profitability of technical analysis in the Singapore stock market: before and after the Asian financial crisis. Journal of Economic Integration, 24(1), 135-150. https://www.e-jei.org/upload/7005956J7X376050.pdf
Lipchak, E. (2011). The effects of American depositary receipt announcement on the underlying share price of emerging Asian corporations [Unpublished baccalaureate honors thesis]. The Pennsylvania State University. https://honors.libraries.psu.edu/files/final_submissions/315
Liu, S. I., & Huang, L. C. (2011). Price behavior of the Taiwan depositary receipt. InternationalBusiness and Management, 3(1), 6-16. http://dx.doi.org/10.3968/j.ibm.1923842820110301.040
MacKinlay, A. C. (1997). Event studies in economics and finance. Journal of Economic Literature, 35(1), 13–39. https://www.jstor.org/stable/2729691
Merton, R. C. (1987). A simple model of capital market equilibrium with incomplete information. The Journal of Finance, 42(3), 483–510. https://doi.org/10.1111/j.1540-6261.1987.tb04565.x
Miller, D. P. (1999). The market reaction to international cross-listings: evidence from Depositary Receipts. Journal of Financial Economics, 51(1), 103-123. https://www.sciencedirect.com/science/article/abs/pii/S0304405X98000452
Ngoc, L. T. B. (2014). Behavior pattern of individual investors in stock market. International Journal of Business and Management, 9(1), 1–16. https://doi.org/10.5539/ijbm.v9n1p1
Nguyen, H. H., & Mai, D. T. (2023). Effects of behavioral finance on Southeast Asian stock markets. Advances and Applications in Statistics, 89(1), 107-123. https://pphmjopenaccess. com/aas/article/view/986/842
Oran, A. (1999, September). The effects of cross-listing of non-US firms on the New York Stock Exchange [Paper presentation]. Third METU International Conference in Economics, Middle East Technical University, Ankara, Turkey. https://ssrn.com/abstract=1565453
Phan, T. N. T., Bertrand, P., Phan, H. H., & Vo, X. V. (2023). The role of investor behavior in emerging stock markets: Evidence from Vietnam. The Quarterly Review of Economics and Finance, 87, 367-376. https://doi.org/10.1016/j.qref.2021.07.001
Sitthipongpanich, T. (2011). Understanding the event study. Journal of Business Administration, 34(130), 59–68. http://www.jba.tbs.tu.ac.th/files/Jba130/Article/JBA130Thitima.pdf
Smirnova, E. (2008). Depositary receipts and firm value: Evidence from Central Europe and Russia. Emerging Markets Review, 9(4), 266–279. https://www.sciencedirect.com/science/article/abs/pii/S1566014108000423
Spence, M. (1973). Job market signaling. The Quarterly Journal of Economics, 87(3), 355–374. https://www.jstor.org/stable/1882010?seq=1
Stulz, R. M. (1981). On the effects of barriers to international investment. The Journal of Finance, 36(4), 923-934. https://doi.org/10.1111/j.1540-6261.1981.tb04893.x
