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...

This paper investigates the international spillover effect of U.S. monetary policy changes on non-U.S. bank stock returns. Our data-set covers 442 non-U.S. banks in 57 countries for 1994-2007. We find that there exists an inverse relationship between non-U.S. bank stock returns and unexpected...