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...

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...