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Determinants of Returns and Volatility of Chinese Adrs at NYSE

Kutan, Ali Mustafa - 2006

This paper examines the determinants of returns and of volatility of the Chinese ADRs as listed at NYSE. Using an autoregressive conditional heteroskedasticity (ARCH) model and data from 16 April 1998 through 30 September 2004, we find that Hong Kong stock market (underlying market), US stock...

Persistent link: https://www.econbiz.de/10012783770

Duration dependence in US business cycles: An analysis using the modulated power law process

Zhou, Haigang; Rigdon, Steven - In: Journal of Economics and Finance 32 (2008) 1, pp. 25-34

Persistent link: https://www.econbiz.de/10005155541

Determinants of returns and volatility of Chinese ADRs at NYSE

Kutan, Ali M.; Zhou, Haigang - In: Journal of Multinational Financial Management 16 (2006) 1, pp. 1-15

Persistent link: https://www.econbiz.de/10005300167

An Anatomy of Trading Strategies: Evidence from China

Zhou, Haigang; Geppert, John; Kong, Dongmin - In: Emerging Markets Finance and Trade 46 (2010) 2, pp. 66-79

Using a pooled cross-sectional time series approach, we evaluate profits of momentum strategies and identify the sources of profits in China's stock market. Momentum strategies generate significant and negative returns in the A-share market on investment horizons at one month and at and above...

Persistent link: https://www.econbiz.de/10008742584

Jump risk and cross section of stock returns: evidence from China’s stock market

Zhou, Haigang; Zhu, John - In: Journal of Economics and Finance 35 (2011) 3, pp. 309-331

Persistent link: https://www.econbiz.de/10009149503

Determinants of returns and volatility of Chinese ADRs at NYSE

Kutan, Ali M.; Zhou, Haigang - In: Journal of multinational financial management 16 (2006) 1, pp. 1-15

Persistent link: https://www.econbiz.de/10007095618

Jump on the Post — Earnings Announcement Drift

Zhou, Haigang; Qi Zhu, John - In: Financial analysts' journal : FAJ 68 (2012) 3, pp. 63-81

Persistent link: https://www.econbiz.de/10009981903

An empirical examination of jump risk in asset pricing and volatility forecasting in China's equity and bond markets

Zhou, Haigang; Zhu, John Qi - In: Pacific-Basin finance journal 20 (2012) 5, pp. 857-881

Persistent link: https://www.econbiz.de/10009988600

Testing the Purchasing Power Parity Hypothesis for the New Member and Candidate Countries of the European Union: Evidence from Lagrange Multiplier Unit Root Tests with Structural B...

Zhou, Haigang; Geppert, John; Kong, Dongmin - In: Emerging markets finance & trade : a journal of the … 46 (2010) 2, pp. 53-66

Persistent link: https://www.econbiz.de/10008399966

Asymmetric Changes in Stock Prices and Investor Recognition around Revisions to the S&P 500 Index

Zhou, Haigang - In: Financial analysts' journal : FAJ 67 (2011) 1, pp. 72-85

Persistent link: https://www.econbiz.de/10008821123