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Unpublished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/ |
| _version_ | 1848799391407669248 |
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| author | Dey, Malay K. Wang, Chaoyan |
| author_facet | Dey, Malay K. Wang, Chaoyan |
| author_sort | Dey, Malay K. |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | 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 volume and return and determine how momentum affects return comovements and asymmetric volatility. Our VAR estimates confirm asymmetric volume comovements, positive volume return correlations implying continuation, and non-monotonic effects of excess return on volatility among ADRs and their underlying home shares. Return comovements and asymmetric volatility are associated with momentum, size, and liquidity. |
| first_indexed | 2025-11-14T20:34:55Z |
| format | Monograph |
| id | nottingham-56836 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T20:34:55Z |
| publishDate | 2018 |
| publisher | Unpublished |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-568362019-06-10T12:13:38Z https://eprints.nottingham.ac.uk/56836/ The impact of momentum trades on return comovements and asymmetric volatility in dual listings Dey, Malay K. Wang, Chaoyan 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 volume and return and determine how momentum affects return comovements and asymmetric volatility. Our VAR estimates confirm asymmetric volume comovements, positive volume return correlations implying continuation, and non-monotonic effects of excess return on volatility among ADRs and their underlying home shares. Return comovements and asymmetric volatility are associated with momentum, size, and liquidity. Unpublished 2018-01-01 Monograph NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/56836/1/The%20Impact%20of%20Momentum%20Trades%20on%20Return%20Comovements%20and%20Asymmetric%20Volatility%20in%20Dual%20Listings.pdf Dey, Malay K. and Wang, Chaoyan (2018) The impact of momentum trades on return comovements and asymmetric volatility in dual listings. Working Paper. Unpublished. (Unpublished) ADR; Volume comovement; Return correlation; Volatility; VAR |
| spellingShingle | ADR; Volume comovement; Return correlation; Volatility; VAR Dey, Malay K. Wang, Chaoyan The impact of momentum trades on return comovements and asymmetric volatility in dual listings |
| title | The impact of momentum trades on return comovements and asymmetric volatility in dual listings |
| title_full | The impact of momentum trades on return comovements and asymmetric volatility in dual listings |
| title_fullStr | The impact of momentum trades on return comovements and asymmetric volatility in dual listings |
| title_full_unstemmed | The impact of momentum trades on return comovements and asymmetric volatility in dual listings |
| title_short | The impact of momentum trades on return comovements and asymmetric volatility in dual listings |
| title_sort | impact of momentum trades on return comovements and asymmetric volatility in dual listings |
| topic | ADR; Volume comovement; Return correlation; Volatility; VAR |
| url | https://eprints.nottingham.ac.uk/56836/ |