The focus of this study is to understand the previously ignored return generating dynamics of American Depositary Receipts (ADR) markets. The main objective of this study is to investigate the nature of the return generating process of the Indian ADRs market. Specifically, the study addresses following interrelated research questions: Do returns series of Indian ADRs market exhibit random walk behavior or rather depict persistence and nonlinear dynamics? Is there any cyclicity in the returns series of Indian ADRs market? Rescaled Range (R/S) method on daily and weekly return series of Bank of the New York Mellon Indian ADR index (BKIN) from 2002 to 2016 has been applied to address the above questions. Empirical findings revealed that returns series of Indian ADRs market: (a) do not exhibit random walk behavior and rather depict both nonlinear behavior and persistence (long range dependence); (b) possess non-periodic cycles of 0.793, 2.38 and approximately 7 years. The findings can work as crucial inputs to forecasting, risk-management and market regulation processes. The knowledge of the average cycle length and persistence will enhance preparedness to handle the opportunities and risks at all levels in the market.