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

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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 Unpublished. (Unpublished)

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Abstract

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.

Item Type: Monograph (Working Paper)
Additional Information: UNNC School of Economics Working Paper Series : Series G Globalisation and Economic Policy. School Economics Working Paper – GEP Series 2019.6G
Keywords: ADR; Volume comovement; Return correlation; Volatility; VAR
Schools/Departments: University of Nottingham Ningbo China > Faculty of Humanities and Social Sciences > School of Economics
Related URLs:
URLURL Type
https://www.nottingham.edu.cn/en/gep/index.aspxUNSPECIFIED
Depositing User: Wu, Cocoa
Date Deposited: 05 Jun 2019 13:38
Last Modified: 10 Jun 2019 12:13
URI: https://eprints.nottingham.ac.uk/id/eprint/56836

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