This article tests for price and volatility linkages between Indian global depositary receipts (GDRs) traded in Luxembourg/London and their underlying shares traded in Mumbai. The relationship is studied between the GDR price and the domestic share price along with the appropriate exchange rates, the foreign stock index and the domestic stock index using the vector autoregression (VAR) and dynamic conditional correlation (DCC) specification of multivariate generalised autoregressive conditional heteroscedasticity (GARCH) models. VAR results indicate a similarity between the two prices of scrips: one trading in Mumbai and the other trading in Luxembourg (London). Further, DCC-GARCH model outcomes point to, by and large, a high-dynamic correlation between Indian GDRs traded in Luxembourg/London and their underlying stocks listed in Mumbai. Thus, the price and volatility linkages between the Indian stock and its European counterpart are invariant with respect to the choice of the foreign stock exchange. Such a similarity in findings, notwithstanding the difference in degree of information disclosure as well as listing requirements at London and Luxembourg, is perhaps indicative of the stock-exchange-invariant nature of law of one price. JEL Classification: G15, C22

中文翻译：

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印度股票与其欧洲GDR之间的价格和波动联系

本文测试了在卢森堡/伦敦交易的印度全球存托凭证（GDR）与在孟买交易的基础股票之间的价格和波幅关联。使用多元广义自回归条件异方差的向量自回归（VAR）和动态条件相关（DCC）规范研究了GDR价格与国内股价以及适当的汇率，外国股票指数和国内股票指数之间的关系（GARCH）模型。VAR结果表明两种股票的价格之间存在相似性：一笔交易在孟买交易，另一笔交易在卢森堡交易（伦敦）。此外，DCC-GARCH模型的结果总体上指出了在卢森堡/伦敦交易的印度GDR与在孟买上市的基础股票之间的高动态相关性。因此，印度股票与欧洲股票之间的价格和波动性联系在选择外国股票交易所方面是不变的。尽管在伦敦和卢森堡的信息披露程度以及上市要求方面存在差异，但调查结果的这种相似性可能表明一价定律具有股票不变性。JEL分类：G15，C22