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Impact of ADR Listing on the Trading Volume and Volatility in the Domestic Market

Ejara, Demissew Diro - 2016

This paper investigates the impact of ADR listing on the trading volume and volatility of the domestic market. Existing … theories indicate that trading shifts to a market with lower transaction costs, and the level of volatility is directly related … price volatility in the domestic market after ADR listing. The increase in volatility is attributed to noise resulting from …

Persistent link: https://www.econbiz.de/10013004380

Rethinking Decimalization The Impact of Increased Tick Sizes on Trading Activity and Volatility

Whitby, Ryan J. - 2019

In this study, we examine the trading activity and volatility of stocks influenced by the US Securities and Exchange … stocks does not appear to be meaningfully affected by the increase in tick sizes. Volatility, however, increases markedly for …

Persistent link: https://www.econbiz.de/10012899258

Impact of ADR Listing on the Trading Volume and Volatility in the Domestic Market

Ejara, Demissew Diro - 2010

Persistent link: https://www.econbiz.de/10013147384

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

Differences in options investors' expectations and the cross-section of stock returns

Andreou, Panayiotis C.; Kagkadis, Anastasios; Philip, Dennis - In: Journal of banking & finance 94 (2018), pp. 315-336

Persistent link: https://www.econbiz.de/10011966661

Effective and simple VWAP options pricing model

Buryak, Alexander; Guo, Ivan - In: International journal of theoretical and applied finance 17 (2014) 6, pp. 1-13

Persistent link: https://www.econbiz.de/10010438536

Volatility information in the trading activity of stocks, options, and volatility options

Wang, Yaw-huei - In: The journal of futures markets 33 (2013) 8, pp. 752-773

Persistent link: https://www.econbiz.de/10009779086

Stock price response to S&P 500 index inclusions : do options listings and options trading volume matter?

Chen, Yangyang; Koutsantony, Constantine; Truong, Cameron; … - In: Journal of international financial markets, … 23 (2013), pp. 379-401

Persistent link: https://www.econbiz.de/10009707491

Availability and settlement of individual stock futures and options expiration-day effects : evidence from high-frequency data

Lien, Da-hsiang Donald; Li, Yang - In: The quarterly review of economics and finance : journal … 45 (2005) 4/5, pp. 730-747

Persistent link: https://www.econbiz.de/10003099292

The impact of listing stock options on the underlying securities : the case of Taiwan

Chen, Dar-hsin; Chang, Po-Hsun - In: Applied financial economics 18 (2008) 13/15, pp. 1161-1172

Persistent link: https://www.econbiz.de/10003760233