The price of timing: Sequenced cross-listings and market discovery in Chinese ADRs

This paper shows that the sequence of cross-listing—whether Chinese firms first issue shares domestically before debuting as American Depositary Receipts (ADRs) (“typical”) or list in the United States first (“atypical”)—is closely linked to cross-market price discovery. Drawing on a matched sample of 15 pairs spanning 1992–2024, we employ a regime-aware framework that integrates Vector Error Correction Models, Hasbrouck information shares, spillover regressions, Hurst-based persistence metrics, dynamic conditional correlations, and holiday-closure tests. The evidence is consistent and robust. Typical firms initially anchor price discovery in domestic markets but progressively shift toward U.S. dominance following ADR issuance. In contrast, atypical firms establish and maintain ADR leadership even after a domestic listing is secured. Volume-based spillovers confirm that shocks in the first-listed venue systematically help predict next-day returns in the secondary market, highlighting the structural anchoring role of sequence. Episodes of systemic stress—including the 2008 global financial crisis, the 2015 Chinese equity crash, and COVID-19—coincide with larger asymmetries, strengthening ADR primacy in atypical cases and increasing return persistence across markets. Sectoral contrasts further reinforce the results: technology firms converge quickly with narrower gaps, while energy, utilities, and other policy-sensitive industries remain segmented with stronger persistence and directional spillovers. Overall, the findings indicate that cross-listing is not a uniform event but a sequence-dependent process with durable informational consequences. This insight holds direct relevance for investors evaluating market signals, issuers determining listing strategies, and policymakers seeking to improve cross-market efficiency.