TY - JOUR T1 - Return Commonality in Cross Listings: <em>Evidence from Hong Kong ADRs</em> JF - The Journal of Index Investing DO - 10.3905/jii.2020.1.088 SP - jii.2020.1.088 AU - Malay K. Dey AU - Chaoyan Wang Y1 - 2020/04/29 UR - https://pm-research.com/content/early/2020/04/29/jii.2020.1.088.abstract N2 - 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 ADRs and H-shares returns. In addition, the authors test whether returns on ADRs and H-shares portfolios determine their component ADRs and H-shares 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 analysisKey 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. ER -