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Purpose – The literature provides extensive evidence for seasonality in stock market returns, but is almost non-existent concerning the potential seasonality in American depository receipts (ADRs). To fill this gap, this paper aims to examine a number of seasonal effects in the market for ADRs. Design/methodology/approach – The paper examines four ADRs for the period from April 1999 to March 2017 to look for signs of eight important seasonal anomalies. The authors follow the standard methodology of using dummy variables for the time period of interest to capture excess returns. For comparison, the same analysis on two US stock market indices is conducted. Findings – The results show the presence of a highly significant pre-holiday effect in all return series, which does not seem to be justified by risk. Moreover, turn-of-the-month effects, monthly effects and day-of-the-week effects were detected in some of the ADRs. The seasonality patterns under analysis tended to be stronger in emerging market-based ADRs. Research limitations/implications – Overall, the results show that significant seasonal patterns were present in the price dynamics of ADRs. Moreover, the findings lend support to the idea that emerging markets are less efficient than developed stock markets. Originality/value – This is the most comprehensive study to date for indication of seasonal anomalies in the market for ADRs. The authors use an extensive sample that includes recent significant financial events such as the 2007/2008 financial crisis and consider ADRs with different characteristics, which allows to draw comparisons between the differential price dynamics arising in developed market-based ADRs and in the ADRs whose underlying securities are traded in emerging markets. Proposito - La literatura proporciona una amplia evidencia de la estacionalidad en los rendimientos del mercado de valores, pero es casi inexistente con respecto a la estacionalidad potencial en los recibos de deposito estadounidenses (ADR). Para llenar este vacio, examinamos varios efectos estacionales en el mercado de ADR. Diseno/metodologia/enfoque - Examinamos cuatro ADR para el periodo comprendido entre abril de 1999 y marzo de 2017 buscando signos de ocho anomalias estacionales importantes. Seguimos la metodologia estandar de usar variables ficticias para el periodo de tiempo de interes para capturar los retornos excesivos. A modo de comparacion, realizamos el mismo analisis en dos indices bursatiles de EE. UU. Hallazgos - Nuestros resultados muestran la presencia de un efecto prevacaciones muy significativo en todas las series de retorno, que no parece estar justificado por el riesgo. Ademas, se detectaron efectos de cambio de mes, efectos mensuales y efectos del dia de la semana en algunos de los ADR. Los patrones de estacionalidad bajo analisis tendieron a ser mas fuertes en los ADR basados en mercados emergentes. Limitaciones/implicaciones de la investigacion - En general, nuestros resultados muestran que hubo patrones estacionales significativos en la dinamica de precios de los ADR. Ademas, los resultados respaldan la idea de que los mercados emergentes son menos eficientes que los mercados bursatiles desarrollados. Originalidad/valor - Este es el estudio mas completo hasta la fecha para la indicacion de anomalias estacionales en el mercado de ADR. Utilizamos una amplia muestra que incluye eventos financieros significativos recientes, como la crisis financiera de 2007/2008, y consideramos ADR con diferentes caracteristicas que nos permiten establecer comparaciones entre la dinamica diferencial de precios que surge en los ADR desarrollados basados en el mercado y en los ADR subyacentes cuyos valores se negocian en mercados emergentes.

Seasonal anomalies in the market for American depository receipts