Asynchronous ADRs : overnight vs intraday returns and trading strategies
Jamie Kang, Tim Leung
| Year of publication: |
2017
|
|---|---|
| Authors: | Kang, Jamie ; Leung, Tim |
| Published in: |
Studies in economics and finance. - Bradford : Emerald, ISSN 1086-7376, ZDB-ID 2364532-5. - Vol. 34.2017, 4, p. 580-596
|
| Subject: | ADR | Intraday return | Mean-reverting | Ornstein-Uhlenbeck model | Overnight return | Pairs trading | Kapitaleinkommen | Capital income | Geldmarktpapier | Money market instruments | Volatilität | Volatility | Börsenkurs | Share price | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1108/SEF-10-2016-0254 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011961106