A Maximum Likelihood Test on the Return Behavior of the Chinese Adrs on the Nyse (Manuscripts) (American Depository Receipts) (New York Stock Exchange‪)‬

ABSTRACT A maximum likelihood approach is used to estimate the autocorrelation in consecutive returns and the relations between volatility, trading volume, and autocorrelation of Chinese ADRs traded on the New York Stock Exchange (NYSE). Daily, weekly, biweekly, and monthly returns exhibit significant autocorrelations. The relations between volatility, volume and autocorrelation are negative and nonlinear. The ADRs portfolio has lower systematic risk relative to major relevant market indices, which would allow the American investors to achieve diversification by investing in the Chinese stocks.