The US capital market is considered the largest and most liquid market in the world. As summarized in the study by Hail and Leuz (2009), the advantage of cross-listing on US exchanges over other exchanges can be attributed to the following reasons. First,4In this study, "financial market integration" and "financial globalization" are treated as interchangeable terms.17External investor protection is strengthened, which allows companies to obtain external financing more easily (e.g. Reese and Weisbach , 2002; Benos and Weisbach, 2004; Doidge et al., 2004). Second, non-US firms must comply with SEC disclosures, helping to improve market transparency and thus reduce the firm's cost of capital (e.g. Verrecchia, 2001; Lambert et al., 2007). Last but not least, cross-listing on US stock exchanges increases investor awareness and expands the firm's investor base (e.g. Merton, 1987; Foerster and Karolyi, 1999). Given the above merits, numerous non-US companies have chosen to list their shares on US markets, typically in the form of American Depositary Receipts (ADRs, hereinafter). ADR is seen as a convenient and cost-effective way for non-Americans. companies to tap into rich US markets. Specifically, ADRs are negotiable certificates issued by a U.S. custodian, representing a specified number of foreign shares physically deposited at the U.S. bank's foreign branch or custodian. ADRs are traded, cleared and settled like any other U.S. securities. From the perspective of U.S. investors, ADRs provide an alternative to investing in foreign stocks without the complexities associated with directly owning foreign stocks. Questions may be raised as to whether ADRs are a good substitute for underlying foreign equities; Investors seeking international exposure can… be mid-level… a girl with different risk-return characteristics. Second, much attention has been paid to ADRs from developed countries, while studies on emerging markets remain insufficient. It is difficult to draw inferences from these studies as their results may be limited to a specific market. To better understand emerging market ADRs more broadly, a more comprehensive analysis of typical emerging markets is in order. Finally, emerging markets have played an increasingly important role in global economies and investors' portfolio strategies. According to Bekaert and Harvey (2013), emerging markets accounted for more than 30% of global GDP in 2012, up from 15% in 1987. Among others, China accounted for approximately 13%. Brazil, Russia and India also feature in the top 10 in terms of contribution to global GDP. Please refer to Table 1.1 below.