Price Discovery for Segmented US‐Listed Chinese Stocks: Location or Market Quality?
研究纽约证券交易所上市的中国存托凭证（ADR）与A股之间的信息流动和价格发现，发现A股市场在价格发现和波动溢出中起主导作用，支持本土偏好假说。
Abstract: This study extends the cross‐listing literature by examining how, and to what extent, the trading of cross‐listed China‐backed ADRs on the New York Stock Exchange contributes to information flows and price discovery for the corresponding stocks traded in China's A‐share market. We find that the cross‐listed US prices and Chinese prices are not cointegrated in the long‐run and the home market plays a far more important role in both price discovery and volatility spillover than does the US market. The home bias hypothesis still holds for the segmented Chinese A‐share market and the location where price discovery actually originates is the essential factor in the process of international information transmission.