Return commonality in cross listings: Evidence from Hong Kong ADRs

Malay K. Dey, Chaoyan Wang

Research output: Journal PublicationArticlepeer-review

Abstract

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.

Original languageEnglish
Pages (from-to)67-83
Number of pages17
JournalJournal of Index Investing
Volume11
Issue number1
DOIs
Publication statusPublished - Jun 2020

ASJC Scopus subject areas

  • Finance
  • Strategy and Management
  • Management of Technology and Innovation

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