A Maximum Likelihood Test on the Return Behavior of the Chinese Adrs on the Nyse (Manuscripts) (American Depository Receipts) (New York Stock Exchange)
Academy of Accounting and Financial Studies Journal 2002, Jan, 6, 1
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- 5٫99 US$
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- 5٫99 US$
وصف الناشر
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.
النوع
تمويل شركات وأفراد
تاريخ النشر
٢٠٠٢
١ يناير
اللغة
EN
الإنجليزية
عدد الصفحات
١٥
الناشر
The DreamCatchers Group, LLC
البائع
The Gale Group, Inc., a Delaware corporation and an affiliate of Cengage Learning, Inc.
الحجم
٣٠٤٫٢
ك.ب.
Information Efficiency and Anomalies in Asian Equity Markets
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Information Spillover Effect and Autoregressive Conditional Duration Models
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Market Microstructure and Nonlinear Dynamics
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Studies on Financial Markets in East Asia
٢٠١١
The Causality Between Stock Index Returns and Volumes in the Asian Equity Markets.
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Equity Markets in India
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Activity-Based Costing, Total Quality Management and Business Process Reengineering: Their Separate and Concurrent Association with Improvement in Financial Performance.
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A Survey of Inventory Holding Cost Assessment and Safety Stock Allocation.
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The Link Between Valuations and Due Diligence (Manuscripts)
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An Analysis of Relative Return Behavior: Reits Vs. Stocks.
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Corporate Governance in Religious Organizations: A Study of Current Practices in the Local Church.
٢٠٠٧
Analyzing Creditworhtiness from Financial Statements in the Presence of Operating Leases.
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