Depositary Receipts, Country Funds, and the Peso Crash: The Intraday Evidence
研究1994年墨西哥比索危机期间，汇率新闻对新兴市场美国存托凭证和封闭式国家基金的日内影响，发现比索贬值主要影响拉丁美洲股票价格和交易量，但未引发非墨西哥证券的大规模抛售。
We study the intraday impact of exchange rate news on emerging market American Depositary Receipts (ADRs) and closed‐end country funds during the 1994 Mexican peso crisis. Peso exchange‐rate changes affect prices and trading volumes of Latin American equities, and some closed‐end fund behavior is consistent with “noise trader” theories of small investors. However, there is no evidence that peso depreciation triggers a significant sell‐off of non‐Mexican securities or that other non‐Mexican trading patterns change at times of high peso news flow. Thus, the “Tequila Effect” is largely confined to price changes.