## Abstract Using a bivariate, asymmetric generalized autoregressive conditional heteroskedasticity model, we examine the patterns of information flows for three financial futures contracts that are dualβlisted on U.S. and Asian markets (i.e., Nikkei 225 Index, Eurodollar, and dollarβyen currency f
β¦ LIBER β¦
Variance of ADR returns: information effect and influence of trading in the U.S. market
β Scribed by Jinwoo Park
- Book ID
- 113410318
- Publisher
- Elsevier Science
- Year
- 1995
- Tongue
- English
- Weight
- 799 KB
- Volume
- 4
- Category
- Article
- ISSN
- 1059-0560
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
Information Role of U.S. Futures Trading
β
Hung-Gay Fung; Wai K. Leung; Xiaoqing Eleanor Xu
π
Article
π
2001
π
John Wiley and Sons
π
English
β 130 KB
Performance of Pairs Trading Strategy in
β
Masaki Mori; Alan J. Ziobrowski
π
Article
π
2011
π
John Wiley and Sons
π
English
β 299 KB
Evidence on the effect of information an
β
Beni Lauterbach; Margaret Monroe
π
Article
π
1989
π
John Wiley and Sons
π
English
β 468 KB
everal studies such as and document that S equity returns are more volatile during trading hours than during non-trading hours. In a recent paper, examine the behavior of the daily (close to close) returns of all NYSE and AMEX stocks. They find that trading hour return variance is much higher th
The overseas listing puzzle: Post-IPO pe
β
Yongli Luo; Fang Fang; Omar A. Esqueda
π
Article
π
2012
π
Elsevier Science
π
English
β 595 KB
The impact of market-specific public inf
β
Christie-David, Rohan; Koch, Timothy W.
π
Article
π
1997
π
John Wiley and Sons
π
English
β 219 KB
π 3 views
The linear and non-linear dependence of
The linear and non-linear dependence of stock returns and trading volume in the Finnish stock market
β
Martikainen, Teppo; Puttonen, Vesa; Luoma, Martti; Rothovius, Timo
π
Article
π
1994
π
Taylor and Francis Group
π
English
β 687 KB