@article{jfe2018615,
author={{Luo, Yongli and Lan, Changxian},
title={Price Discovery Study of Chinese ADRs on Global Markets},
journal={Journal of Finance and Economics},
volume={6},
number={1},
pages={32--37},
year={2018},
url={http://pubs.sciepub.com/jfe/6/1/5},
issn={2328-7276},
abstract={This paper analyzes the price discovery mechanism between the Chinese American Depository Receipts (ADRs) listed on the New York Stock Exchange (NYSE) and their underlying H shares on the Hong Kong Stock Exchange (HKEX). It employs the Permanent-Transitory decomposition in vector autoregression (VAR) model, and finds that the New York stock market makes the principal contribution to the price discovery, and the proportion of contribution is 84.84%; while the Hong Kong market makes only subsidiary contribution of 15.16%. In addition, it confirms the existence of the long-term cointegration relationship between ADRs and H shares, which implies that portfolio diversification among Chinese ADRs is consistent with Global Center Hypothesis and efficient for international investors.},
doi={10.12691/jfe-6-1-5}
publisher={Science and Education Publishing}
}