The Behavior Of The American Depositary Receipts (ADR’s) Of Mexican Companies. A Risk Perspective

Abstract

The opening of the financial markets of developed countries to companies from developing countries is a sign of the globalization that has been achieved even with restrictions. In this context, American Depositary Receipts (ADR's) are an option for Mexican companies listed on the Mexican Stock Exchange to enter the U.S. stock market and thus diversify their financing options. The objective of this paper is to analyze the level of volatility during the government's transition period (2017-2018), which also coincides with the USMCA negotiations. To carry out this analysis, the eleven Mexican issuers with the greatest presence of capitalization in the U.S. market were chosen. The methodology used is a GARCH model, suitable for analyzing time series processes of financial variables. The result shows that the uncertainty caused by the transition process and the negotiation of the agreement in question has impacted the volatility of Mexican ADRs during the period in question.