Abstract
This article compares the daily stock market liquidity of single-listed and cross-listed American Depositary Receipts (ADRs). Single-listed ADRs trade in U.S. exchanges; however, their underlying stock is not listed in their home market. Contrary to cross-listed ADRs, if a single-listed ADR program closes, investors are left with illiquid and unlisted ordinary shares, which may affect their ADR shares’ liquidity. Using three measures of market liquidity—percentage spread, dollar volume, and price impact—we find no statistical difference between single-listed and cross-listed ADRs’ daily average liquidity, a result that holds irrespective of liquidity measure and of whether ADRs are grouped by geographical region or country. Given the high concentration of Chinese ADRs, we conducted the same analysis for these ADRs and obtained the same results.
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