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The paper examines the Chinese market reaction to the ADR issue by comparingreturns and their stochastic variances of the Chinese firms cross-listed in theU.S. stock market. First, It was implemented capital asset pricing model (CAPM)to determine expected returns A and N shares. The CAPM provided with amethodology to quantify risk and translate that risk into estimates of expectedreturn on equity. Overall findings document that N shares of Chinese entitieslisted on U.S. market were greatly affected by economic turmoil during theperiod of World Financial Crises 2007-2008 than the A shares listed on thelocal market. After in order to test the hypothesis of beneficialcross-listing, it was implemented an event study method and the returns wasmodeled following GARCH process, which assumes homoscedasticity in residualreturns. The results indicate a significant negative abnormal market return onan ADR listing date. The return volatilities after the listing date arecompared to those before the listing. Four out of ten companies experiencedincreased volatility of local return after the cross-listing. Keywords:cross-listing, ADR, rate of return, volatility, CAPM, GARCH model, N shares, Ashares

Impact of Cross-Listing Chinese Stock Returns. A and N Shares Rate of Return Comparison