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Stock prices and the location of trade : evidence from China-backed ADRs
conference contributionposted on 06.12.2017, 00:00 by X Wang, Lee Yao
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 country-specific investor sentiment affects stock prices.