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Multi-market trading and overnight price discovery: Evidence from American Depository Receipts

Author

Listed:
  • Lai Hoang

    (UWA Business School, The University of Western Australia, Perth, WA, Australia)

  • Duc Hong Vo

    (Research Centre in Business, Economics & Resources, Ho Chi Minh City Open University, Ho Chi Minh City, Vietnam; UWA Business School, The University of Western Australia, Perth, WA, Australia)

Abstract

This article compares the overnight price discovery of American Depository Receipts (ADRs) and common stocks traded in the US stock market. It examines how trading activities of ADRs’ underlying shares in home markets affect price discovery. We find that the efficiency of the opening price and the price discovery during the close-to-open period is significantly higher than that of US common stocks. Further analyses show that the price discovery of ADRs shifts from the trading day to the overnight, and the opening prices of ADRs are more efficient if there are more trading activities of underlying shares in home markets. The results suggest that trading similar assets in multiple markets over non-overlapping hours improves price efficiency. JEL Classification: G12, G14, G15

Suggested Citation

  • Lai Hoang & Duc Hong Vo, 2026. "Multi-market trading and overnight price discovery: Evidence from American Depository Receipts," Australian Journal of Management, Australian School of Business, vol. 51(1), pages 3-21, February.
    • Handle: RePEc:sae:ausman:v:51:y:2026:i:1:p:3-21
    DOI: 10.1177/03128962241286085
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    References listed on IDEAS

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    Keywords

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    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
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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