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Return Commonality in Cross Listings: Evidence from Hong Kong ADRs

Malay K. Dey and Chaoyan Wang
The Journal of Beta Investment Strategies Summer 2020, 11 (1) 67-83; DOI: https://doi.org/10.3905/jii.2020.1.088
Malay K. Dey
is a visiting assistant professor of finance in the School of Business at Quinnipiac University in Hamden, CT
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Chaoyan Wang
is an assistant professor at the University of Nottingham in Ningbo, China
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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.

TOPICS: Fundamental equity analysis, accounting and ratio analysis, technical analysis

Key Findings

  • • This article highlights the asymmetry in return distributions for ADRs and their underlying H-shares when means and variances of returns are considered.

  • • Investor sentiment denoted by index returns asymmetrically impact ADR and H-share returns.

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The Journal of Index Investing: 11 (1)
The Journal of Beta Investment Strategies
Vol. 11, Issue 1
Summer 2020
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Return Commonality in Cross Listings: Evidence from Hong Kong ADRs
Malay K. Dey, Chaoyan Wang
The Journal of Beta Investment Strategies May 2020, 11 (1) 67-83; DOI: 10.3905/jii.2020.1.088

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Return Commonality in Cross Listings: Evidence from Hong Kong ADRs
Malay K. Dey, Chaoyan Wang
The Journal of Beta Investment Strategies May 2020, 11 (1) 67-83; DOI: 10.3905/jii.2020.1.088
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  • Article
    • Abstract
    • DATA, DESCRIPTIVE STATISTICS, AND DISTRIBUTIONS OF ADR AND H-SHARE RETURNS
    • COMMON RETURNS FACTORS
    • CONCLUSION
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