We empirically investigate the role of host (U.S.) and home (Hong Kong) (HK) security market returns as common determinants of security returns for Chinese American Depository Receipts (ADRs) and their underlying H-shares. We also empirically determine the relation between return spread...

We examine the determinants of stock market and bank liquidity in an economy in a SUR framework in which stock market turnover and available bank credit denoting access to long and short term capital respectively are interdependent and the errors are correlated. The SUR results suggest that...