作者： Rıza Demirer (Southern Illinois University Edwardsville), Ali M. Kutan (The William Davidson Institute, University of Michigan Business School), 张华丞（西南财经大学金融研究院）
This paper extends the research on investor herds to American Depository Receipts (ADRs). Using daily price data on 305 ADRs traded inUS exchanges issued by corporations from19 countries,we examine herding behavior in the market for ADRs within country and sector-based portfolios. There is significant evidence of herding behavior in the market for ADRs from Chile only regardless of alternativemodel specifications. On the other hand,we find a significant effect of the Asian crisis and the recent creditmarket crisis on herding behavior in ADR issues from Korea and the UK, respectively, suggesting a link between market crisis periods and herding behavior. Furthermore, we find no significant effects of currency rates (except Korea) or the performance of the market of origin on herding behavior among ADR issues. In the case of sector-based ADR portfolios, evidence of herding behavior exists in Basic Industries, Capital Goods, Food & Tobacco, and Textile & Trade, but only during periods of large market downturns. Overall, herding ismore prevalent at the sector level than the country level for the markets for the ADRs.