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Who profits from trading around earnings announcements? : evidence from TORQ data

Dey, Malay K.; Radhakrishna, B. - In: The journal of asset management 9 (2008/09) 4, pp. 300-308

Persistent link: https://www.econbiz.de/10003772016

Return spread and liquidity : evidence from Hong Kong ADRs

Dey, Malay K.; Wang, Chaoyan - In: Research in international business and finance 26 (2012) 2, pp. 164-180

Persistent link: https://www.econbiz.de/10009618267

Volume decomposition and volatility in dual-listing H-shares

Dey, Malay K.; Wang, Chaoyan - In: The journal of asset management : a major new, … 22 (2021) 4, pp. 301-310

Persistent link: https://www.econbiz.de/10012581634

Return Commonality in Cross Listings : Evidence from Hong Kong ADRs

Dey, Malay K. - 2020

In a return commonality framework, the authors estimate portfolio betas associated with changes in returns of 15 Chinese ADRs and their underlying H-shares, where the portfolios denote hosts (NYSE and SHSE) and home (Hang Seng) markets, and their returns are common determinants of ADRs and...

Persistent link: https://www.econbiz.de/10012833824

Asymmetric volume volatility causality in dual listing H-shares

Dey, Malay K.; Wang, Chaoyan - In: The journal of asset management : a major new, … 23 (2022) 5, pp. 419-428

Persistent link: https://www.econbiz.de/10013392097