Article ID Journal Published Year Pages File Type
973393 The North American Journal of Economics and Finance 2013 12 Pages PDF
Abstract

This study examines whether the trading location affects equity returns of China-backed American Depository Receipts (ADRs) traded in the US. If International Financial Markets are integrated, stock prices should be affected only by their fundamentals; otherwise, stock prices may also be affected by their trading locations/investor sentiment. We find that China ADRs’ returns are affected more by the US market fluctuations than by Chinese market returns. We interpret the results as suggesting that International Financial Markets are at least partially segmented and country-specific investor sentiment affects stock prices.

Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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