Chen, Jun; Tse, Yiuman; Williams, Michael - In: Journal of International Financial Markets, … 19 (2009) 5, pp. 729-741
Our study examines market sentiment and the importance of trading location in British American Depository Receipts (ADRs) traded in the US. Perfect integration between UK markets and UK ADRs is ruled out given that UK ADRs exhibit an intraday, U-shaped volatility curve. Both a variance...
