In a return commonality framework, the authors estimate portfolio betas associated with changes in returns of 15 Chinese ADRs and their underlying H-shares, where the portfolios denote hosts (NYSE and SHSE) and home (Hang Seng) markets, and their returns are common determinants of ADR and H-share returns. In addition, the authors test whether returns on ADR and H-share portfolios determine their component ADR and H-share returns. Using a quantile regression methodology, the authors estimate those betas for four sample quartiles. The authors' results indicate an asymmetric impact of changes in portfolio returns on changes in ADR and H-share returns; further, the asymmetries are enhanced across return quartiles. The authors interpret the market impact on ADR and H-share returns as denoting investor sentiments.
|Number of pages||17|
|Journal||Journal of Index Investing|
|Publication status||Published - Jun 2020|
ASJC Scopus subject areas
- Strategy and Management
- Management of Technology and Innovation