Essays about: "Chinese ADRs"

Found 1 essay containing the words Chinese ADRs.

  1. 1. Volatility and Mean Spillover of Chinese ADRs at New York Stock Exchange

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Hui Zhang; Yuanjing Gao; [2008]
    Keywords : GARCH; volatility; correlation; spillover; Shanghai; Chinese ADRs; Hang Seng; S P 500; mean; asymmetries; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : 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