The impact of momentum trades on return comovements and asymmetric volatility in dual listings
We empirically investigate the impact of volume on serial return comovements (continuation vs. reversal) and asymmetric volatility (inverse relation with excess return) of 175 ADRs and their underlying securities in 27 countries. We classify +/-/0 trade momentum days based on a joint distribution of...
| Main Authors: | , |
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| Format: | Monograph |
| Language: | English |
| Published: |
Unpublished
2018
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| Subjects: | |
| Online Access: | https://eprints.nottingham.ac.uk/56836/ |