Does Indian ADR Stocks Uncertainty Shock Play Important Roles in the Mobility of US Stock Market

Abstract

The study focuses on the selection of Indian ADR (American depository receipts) equities for the mobility of the US stock market, which are listed on the US stock exchange. This study evaluated the dynamic link between Indian ADR and the US stock market utilising VAR Granger Causality/Block Exogeneity Wald Tests, followed by variance decomposition and impulse response. The NYSE (New York Stock Exchange) is used as a proxy variable for the US stock market. The research gathered data with the goal of having a data range of twenty years. The data range of less than twenty years was excluded from the investigation, and the study was completed with seven Indian ADR variables out of fourteen Indian ADR variables. Daily time-series data for seven Indian ADR variables listed in the US market have been gathered from 2001 to 2021. The result verifies that NYSE is caused by WIT (Wipro Limited), HDB (HDFC Bank Limited), and SIFY (Sify Technologies Limited), and it confirms that NYSE is also causing RDY (Dr. Reddy’s Laboratories Limited) and SIFY, respectively. As a result, the bivariate causation between SIFY and NYSE is confirmed SIFY is the Indian ADR that is contributing to the NYSE’s mobility among all Indian ADRs listed on the foreign stock exchange. IBN (ICICI Bank Ltd.) and WIT are contributing to the variance decomposition of NYSE, and this is a highly significant variation in NYSE when compared to other variables. The SIFY’s asymmetric influence on the NYSE is represented by the impulse response function.

Keywords: Indian ADR, NYSE, VAR Granger Causality/Block Exogeneity Wald Tests, Variance Decomposition, Impulse Response, American Depository Receipt

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