Essays about: "Chinese ADRs"
Found 1 essay containing the words Chinese ADRs.
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1. Volatility and Mean Spillover of Chinese ADRs at New York Stock Exchange
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This paper examines how the returns and volatility of Chinese ADRs listed at NYSE are affected by their host market (US), underlying market (Hong Kong) and local market (Shanghai). Using a GARCH spillover model and data from 1 January 2002 to 30 September 2007, we find that the volatility spillover from US (host market), Hong Kong (underlying market) and Shanghai (local market) to Chinese ADRs, following the order: Hong Kong > US > Shanghai which can also be reflected in variance ratios. READ MORE
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