Are the returns of Chinese ADRs more affected by the U.S. stock market or their underlying home market? Since there is non-synchronous trading between U.S. and the Chinese stock markets, we decompose the Chinese ADR daily returns into day and night returns to investigate the different market...

We model and estimate ADRs' home market pass-through and pricing-to-market using a regime-switching approach, which nests the two regimes in a conditional capital asset pricing model and treats any changes in these two regimes probabilistically. Our results from the 1998 to 2006 data show that...

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...