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Day and night returns of Chinese ADRs

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  • He, Hui
  • Yang, Jiawen
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    Abstract

    Are the returns of Chinese American Depositary Receipts (ADR) more affected by the US market or their underlying home market? We separate Chinese ADR daily returns into day and night returns to investigate the different market effects on ADR pricing. We compare “homeless” ADRs to home-based or cross-listed ADRs to see if they are affected differently by market factors. We find the night returns of Chinese ADRs are significantly affected by their home market (either the Hong Kong market or mainland China market) daily returns and the US market night returns. The US day returns appear to be the most significant pricing factor for the day returns of Chinese ADRs. The homeless ADRs are more affected by the US market and less affected by their home market compared to the cross-listed ADRs.

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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 36 (2012)
    Issue (Month): 10 ()
    Pages: 2795-2803

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    Handle: RePEc:eee:jbfina:v:36:y:2012:i:10:p:2795-2803

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    Web page: http://www.elsevier.com/locate/jbf

    Related research

    Keywords: Chinese ADRs; Cross-listing; Homeless ADRs; Day and night returns;

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    References

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    Cited by:
    1. Hornstein, Abigail S., 2014. "The impact of local governance institutions on foreign market listings: The case of Chinese firms," China Economic Review, Elsevier, vol. 29(C), pages 46-67.

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