Dey, Malay K.; Wang, Chaoyan - In: Research in International Business and Finance 26 (2012) 2, pp. 164-180
Fifteen Chinese H-shares listed on the Stock Exchange of Hong Kong are cross listed as ADRs on the NYSE. We empirically determine the role of security specific liquidity associated with those ADRs and their underlying H-shares on return spreads, differences between the returns on ADRs and their...
