Asynchronous ADRs: overnight vs intraday returns and trading strategies

Volume: 34, Issue: 4, Pages: 580 - 596
Published: Oct 2, 2017
Abstract
Purpose The purpose of this study is to analyze the overnight and intraday returns of the most traded American Depositary Receipts (ADRs) of Asian companies, understand the different levels of volatilities realized in these asynchronous markets and develop trading strategies based on empirical findings. Design/methodology/approach This study presents an empirical analysis on the overnight and intraday returns of Asian ADRs. The authors propose a...
Paper Details
Title
Asynchronous ADRs: overnight vs intraday returns and trading strategies
Published Date
Oct 2, 2017
Volume
34
Issue
4
Pages
580 - 596
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