Day and night returns of Chinese ADRs
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.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Fang, Hsing & Loo, Jean C. H., 2002. "Pricing of American Depositary Receipts under Market Segmentation," Global Finance Journal, Elsevier, vol. 13(2), pages 237-252.
- Gagnon, Louis & Karolyi, G. Andrew, 2009.
"Information, Trading Volume, and International Stock Return Comovements: Evidence from Cross-Listed Stocks,"
Journal of Financial and Quantitative Analysis,
Cambridge University Press, vol. 44(04), pages 953-986, August.
- Gagnon, Louis & Karolyi, G. Andrew, 2007. "Information, Trading Volume, and International Stock Return Comovements: Evidence from Cross-Listed Stocks," Working Paper Series 2006-11, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- He, Hui & Yang, Jiawen, 2011. "Regime-switching analysis of ADR home market pass-through," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 204-214, January.
- Padma Kadiyala & Avanidhar Subrahmanyam, 2004. "Divergence of US and Local Returns in the After-market for Equity Issuing ADRs," European Financial Management, European Financial Management Association, vol. 10(3), pages 389-411.
- Zhang, Cinder Xinde & King, Tao-Hsien Dolly, 2010. "The decision to list abroad: The case of ADRs and foreign IPOs by Chinese companies," Journal of Multinational Financial Management, Elsevier, vol. 20(1), pages 71-92, February.
- Chan, Justin S.P. & Hong, Dong & Subrahmanyam, Marti G., 2008. "A tale of two prices: Liquidity and asset prices in multiple markets," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 947-960, June.
- Choi, Yoon K. & Kim, Dong-soon, 2000. "Determinants of American Depositary Receipts and their underlying stock returns: Implications for international diversification," International Review of Financial Analysis, Elsevier, vol. 9(4), pages 351-368.
- Kumar Patro, Dilip, 2000. "Return behavior and pricing of American depositary receipts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(1), pages 43-67, January.
- Whitney K. Newey & Kenneth D. West, 1986.
"A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix,"
NBER Technical Working Papers
0055, National Bureau of Economic Research, Inc.
- Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 33(1), pages 125-132.
- Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-08, May.
- Arquette, Gregory C. & Brown Jr., William O. & Burdekin, Richard C.K., 2008. "US ADR and Hong Kong H-share discounts of Shanghai-listed firms," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1916-1927, September.
- Gagnon, Louis & Andrew Karolyi, G., 2010.
"Multi-market trading and arbitrage,"
Journal of Financial Economics,
Elsevier, vol. 97(1), pages 53-80, July.
- Billy S.C. Mak & Asta M.S. Ngai, 2005. "Market Linkage for Dual-Listed Chinese Stocks," Chinese Economy, M.E. Sharpe, Inc., vol. 38(2), pages 88-107, March.
- Kim, Minho & Szakmary, Andrew C. & Mathur, Ike, 2000. "Price transmission dynamics between ADRs and their underlying foreign securities," Journal of Banking & Finance, Elsevier, vol. 24(8), pages 1359-1382, August.
- Alaganar, V. T. & Bhar, Ramaprasad, 2001. "Diversification gains from American depositary receipts and foreign equities: evidence from Australian stocks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 11(1), pages 97-113, March.
- Silva, Ana Cristina & Chávez, Gonzalo A., 2008. "Cross-listing and liquidity in emerging market stocks," Journal of Banking & Finance, Elsevier, vol. 32(3), pages 420-433, March.
- Su, Qian & Chong, Terence Tai-Leung, 2007. "Determining the contributions to price discovery for Chinese cross-listed stocks," Pacific-Basin Finance Journal, Elsevier, vol. 15(2), pages 140-153, April.
- Xiaoqing Eleanor Xu & Hung-Gay Fung, 2002. "Information Flows across Markets: Evidence from China-Backed Stocks Dual-Listed in Hong Kong and New York," The Financial Review, Eastern Finance Association, vol. 37(4), pages 563-588, November.
- Kutan, Ali M. & Zhou, Haigang, 2006. "Determinants of returns and volatility of Chinese ADRs at NYSE," Journal of Multinational Financial Management, Elsevier, vol. 16(1), pages 1-15, February.
When requesting a correction, please mention this item's handle: RePEc:eee:jbfina:v:36:y:2012:i:10:p:2795-2803. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.