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Day and night returns of Chinese ADRs

Author

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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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    References listed on IDEAS

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    Citations

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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.
    2. repec:eee:riibaf:v:42:y:2017:i:c:p:1040-1056 is not listed on IDEAS
    3. Jamie Kang & Tim Leung, 2017. "Asynchronous ADRs: overnight vs intraday returns and trading strategies," Studies in Economics and Finance, Emerald Group Publishing, vol. 34(4), pages 580-596, October.
    4. Congsheng Wu & Ke Chen, 2015. "Return transmissions between ADRs and A-shares of dual-listed Chinese firms," Managerial Finance, Emerald Group Publishing, vol. 41(5), pages 465-479, May.

    More about this item

    Keywords

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

    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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