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Previous studies show that the price transmission between foreign stocks and their American Depositary Receipts (ADRs) relies not only on current but also on past information such as individual stock returns, market returns and changes in exchange rates. In addition to these factors, this study investigates whether changes in trading volume and macro events affect the price transmission between European stocks and their ADRs. The results show that changes in domestic volume of several European countries on the same calendar day do affect subsequent ADR returns, implying that volume contains incremental information not in prices. We also find that the announcements of several EU agreements have significant impacts on the price transmission between UK domestic stocks and their ADRs, but not on that of other European countries. Since UK does not use the euro currency, investors may expect changes in future UK pound value and thus revalue stock prices.
