Industry co-movement and cross-listing: Do home country factors matter?

•We probe the industry co-movements of ADR-home country and ADR-US markets by copulas.•The industry co-movement of ADR is higher with home-country than that with the U.S.•Some country factors affect ADR industry co-movements with US and its home country.•The country factors impact industry co-movement are varied in market up or down.•Factors affected the industry co-movement of ADR-US are FDI, reserve, cash surplus.

This paper investigates the co-movement of American depositary receipts (ADRs) and the industry returns of home and U.S. markets with a focus on industry co-movement by applying time-varying and constant copulas model specifications. We also examine the impacts of country-specific factors on the industry co-movement in cross-listing issue. Co-movements are found in relation to the industry returns and economic asymmetry. The industry co-movement of ADR is higher with home country than that with the U.S., supporting the fundamental view. The results pertaining to the ADR-home pairs are as follows: (1) during economic recessions, the factors of influencing industry co-movement include import and the number of listed companies; (2) in contrast, during economic booms, industry co-movement is significantly influenced by energy import, export, import, the number of listed companies, and high-tech export. The factors that impact the industry co-movement of ADR-US contain foreign direct investment, reserve, cash surplus, energy import, and the number of listed companies.