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Day and night returns of Chinese ADRs

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  • He, Hui
  • Yang, Jiawen

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.

Suggested Citation

  • He, Hui & Yang, Jiawen, 2012. "Day and night returns of Chinese ADRs," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2795-2803.
    • Handle: RePEc:eee:jbfina:v:36:y:2012:i:10:p:2795-2803
    DOI: 10.1016/j.jbankfin.2012.06.016
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    Cited by:

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    3. Peng, Zhe & Yang, Yahui & Wu, Renshui, 2022. "The Luckin Coffee scandal and short selling attacks," Journal of Behavioral and Experimental Finance, Elsevier, vol. 34(C).
    4. Malay K. Dey & Chaoyan Wang, 2022. "Asymmetric volume volatility causality in dual listing H-shares," Journal of Asset Management, Palgrave Macmillan, vol. 23(5), pages 419-428, September.
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    6. Malay K. Dey & Chaoyan Wang, 2021. "Volume decomposition and volatility in dual-listing H-shares," Journal of Asset Management, Palgrave Macmillan, vol. 22(4), pages 301-310, July.
    7. David L. Dickinson & Ananish Chaudhuri & Ryan Greenaway-McGrevy, 2020. "Trading while sleepy? Circadian mismatch and mispricing in a global experimental asset market," Experimental Economics, Springer;Economic Science Association, vol. 23(2), pages 526-553, June.

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    More about this item

    Keywords

    Chinese ADRs; Cross-listing; Homeless ADRs; Day and night returns;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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