An Empirical Study Of Yield Transmission Between ADR And Hong Kong Stock Of Chinese Companies

As unicorn enterprises are returning to the A share market in CDR form more and more quickly,Depository Receipt(DR),a new investment variety,has gradually entered the view of Chinese investors..Through the summary and review of the existing research literature,it is found that in the previous research results,the research on depository receipts is mainly focused on the study of the operation and system of the oversea depository receipts,especially the ADR in the United States market,and provides policy recommendations for Chinese Depository Receipt(CDR).In the field of empirical research,there are few studies on depository receipts,especially the yield transmission of the depository receipts of Chinese companies.Therefore,this paper makes an empirical analysis on the ADRs and common stocks of Hong Kong and U.S.cross listing Chinese companies.In the research method,14 samples of the cross listing companies in Hong Kong and the United States are compiled into the ADR index and the Hong Kong common stock index respectively,and the logarithmic return on the two index is taken as time series variable.The whole sample period is divided into 7 different periods in 14 years,of which 4 represent the bull market and 3 represents the bear market.And on the basis of this,the empirical study is carried out.Through the empirical analysis of the mainstream VAR model,Granger causality test,impulse response function analysis,variance decomposition and other methods,this paper draws important investment conclusions.Firstly,in each period,the yield of the US ADR index is almost only affected by its own lag,and the rate of return of the Hong Kong stock index has almost no effect on the ADR index.Secondly,in each period,the US ADR index yield is the Granger reason of the Hong Kong common stock index yield,while the Hong Kong common stock index yield is only the Granger reason of the US index yield in a certain number of rising periods.Thirdly,in each period,the US ADR index yield will hardly be hit by the Hong Kong stock index,while the Hong Kong stock index yield is affected by the impact of the US ADR index,and in the fall period the impact will appear to be greater than the rising period.Fourthly,in each period,the main reason for the volatility of the US ADR index yield is its own factors,which are very little influenced by the Hong Kong stock index,while the Hong Kong stock index yield has always been affected by the US ADR index yield at a level of about 50% or even higher.Finally,on the basis of empirical analysis,this paper assumes four scenarios for future CDR investment,and gives feasible investment suggestions.