The Korean Journal of Financial Management (재무관리연구)

Korean Financial Management Association (한국재무관리학회)
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Information Transmission Between NYSE Listed Chinese ADRs and Their Underlying Shares

뉴욕증시의 중국 ADR과 원주사이의 정보전이효과

  • Kim, Kyung-Won (College of Economic and Business (Intemational Commerce), Kyonggi University) ;
  • Choi, Joon-Hwan (College of Economic, ZheJiang University)
  • 김경원 (경기대학교 경상대학 경영학부(국제통상)) ;
  • 최준환 (중국 절강대학 경제학원)
  • Published : 2006.12.31

Abstract

This paper investigates the pricing information transmission between NYSE listed Chinese ADRs and their underlying shares by using GJR. The data in this study consist of daytime and overnight returns on 7 chinese stocks End their ADRs on the NYSE for the period from December 2002 to december 2005. We have round that the home market leadership hypothesis can be applied to the Chinese stocks. We have also found that return spillover effect is stronger than volatility spillover effect.

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