The impact of momentum trades on return comovements and asymmetric volatility in dual listings

QR Code

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...

Full description

Bibliographic Details
Main Authors:	Dey, Malay K., Wang, Chaoyan
Format:	Monograph
Language:	English
Published:	Unpublished 2018
Subjects:	ADR; Volume comovement; Return correlation; Volatility; VAR
Online Access:	https://eprints.nottingham.ac.uk/56836/

Similar Items

Does market structure matter?Trading costs and return volatility around exchange listings
by: Bessembinder, H., et al.
Published: (2008)

Analysis of the impact of the margin trading system and stock market volatility in mainland China —Base on an empirical study
by: Ao, Xinyi
Published: (2022)

Global engagement and returns volatility
by: Girma, Sourafel, et al.
Published: (2016)

Cryptocurrency returns, volatility and investor attention: an empirical analysis using econometric and machine learning techniques
by: Gadirli, Farid
Published: (2025)

Swings in sentiment and stock returns: Evidence from a frontier market
by: Rahman, M., et al.
Published: (2013)

The Law of One Price and Arbitrage on China's Dual-listings
by: Liu, Li Xian, et al.
Published: (2013)

Value-at-Risk Models Applied to Taiwan's Stock Market
by: Lin, Ching-Li
Published: (2008)

Modeling and forecasting volatility of index return: an empirical evidence of FTSE 100 Index
by: ZHU, Lin
Published: (2013)

The Effect of B Share Market Reform on Volatility Spillovers and Changes in Correlation between Chinese A and B Shares
by: Chan, Felix, et al.
Published: (2005)

A risk-return explanation of the momentum-reversal “anomaly”
by: Booth, G. Geoffrey, et al.
Published: (2016)

Does Oil Price Volatility Matter for Asian Emerging Economies?
by: Rafiq, S., et al.
Published: (2014)

Asymmetric Volatility Response to news sentiment in gold futures
by: Smales, Lee
Published: (2015)

Consistent nonparametric specification tests for stochastic volatility models based on the return distribution
by: Zu, Yang, et al.
Published: (2017)

Understanding the price of volatility risk in carry trades
by: Ahmed, Shamim, et al.
Published: (2015)

Adverse drug reaction reporting in Australian hospitals
by: Nita, Yunita
Published: (2002)

Tuning a multiple classifier system for side effect discovery using genetic algorithms
by: Reps, Jenna M., et al.
Published: (2014)

Adverse drug reactions in West Africa
by: Cliff-Eribo, Kennedy O.
Published: (2016)

Return and Liquidity Comovement in the Shanghai and Hong Kong Stock Connect
by: Ji, Zhi
Published: (2022)

On the implied volatility from a "purified" option price process
by: Luong, C., et al.
Published: (2014)

Currency option pricing and realised volatility
by: Manzur, Meher, et al.
Published: (2010)

Volatility and diversification of exports: firm level theory and evidence
by: Vannoorenberghe, Gonzague, et al.
Published: (2016)

Option pricing via maximization over uncertainty and correction of volatility smile
by: Dokuchaev, Nikolai
Published: (2011)

Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk
by: Da Veiga, Bernardo, et al.
Published: (2008)

Structure and asymptotic theory for multivariate asymmetric conditional volatility
by: Mcaleer, M., et al.
Published: (2009)

Return and volatility spillover eﬀects: Evaluating the impact of Shanghai and Shenzhen-Hongkong Stock Connect Programs on A-H-US stock markets ---An empirical analysis based on VAR-GARCH model
by: JI, BAIHAO
Published: (2019)

The Investigation of Implied Volatility for the FTSE100 Index Options: A Computational Approach
by: Zhao, Wenjing
Published: (2009)

Long memory and multifractality: a joint test
by: Goddard, John, et al.
Published: (2016)

Forecasting Volatility and Analyzing the Features of Volatility by three different methods- empirical study based on SSE 50ETF
by: Zou, YuanFang
Published: (2019)

Modeling volatility in foreign currency option pricing
by: Hoque, Mohammed, et al.
Published: (2008)

Can time difference deter arbitrage opportunities?
by: Bogomolov, T., et al.
Published: (2013)

On the implied volatility layers under the future risk-free rate uncertainty
by: Hin, L., et al.
Published: (2014)

Volatility dynamics in Dubai gold futures market
by: Nekhili, R., et al.
Published: (2011)

MODELLING AND FORECASTING VOLATILITY BY GARCH-TYPE MODELS: THE CASE OF VIETNAM STOCK EXCHANGE
by: Mai, Thi Thanh Hien
Published: (2008)

Evaluating the impact of market reforms on Value-at-Risk forecasts of Chinese A and B shares
by: Da Veiga, Bernardo, et al.
Published: (2008)

Nonparametric specification tests for stochastic volatility models based on volatility density
by: Zu, Yang
Published: (2015)

Volatility Forecasting in Bull and Bear Markets: Evidence from the US stock market
by: Sideris, Epameinondas
Published: (2016)

Analysis of market volatility via a dynamically purified option price process
by: Luong, C., et al.
Published: (2014)

Exchange Rate Volatility Before and After the Float
by: Wali, Muammer, et al.
Published: (2013)

Computation of the implied discount rate and volatility for an overdefined system using stochastic optimization
by: Hin, L., et al.
Published: (2015)

Can Chinese security companies use Value at Risk (VaR) to measure market risk they faced: an empirical study?
by: Tan, Xiao
Published: (2006)