An Intraday Analysis of Related Investment Vehicles Traded in the NYSE and AMEX

33 Pages Posted: 6 Jun 2019

See all articles by Qingqing Chen

Qingqing Chen

Government of the United States of America - Office of the Comptroller of the Currency (OCC)

Date Written: January 20, 2011

Abstract

This paper undertakes an intraday analysis of related investment vehicles traded in the NYSE and AMEX. This paper investigates how the trading behaviors of three related investment vehicles (American Depository Receipt, Exchange-traded Fund, and Closed-end Fund) differ across countries using high-frequency intraday data. I …find that ADRs trade at transaction prices that are on average worse than ETFs and CEFs. The trading of ADRs, ETFs, and CEFs follows positive feedback strategies. The buy and sell trades of the three securities are driven by the net order imbalances and past returns of three securities themselves. The correlated trading behaviors of the three securities can be explained by momentum traders with a common information set.

Keywords: Liquidity, Information, Momentum

JEL Classification: G14 G15

Suggested Citation

Chen, Qingqing, An Intraday Analysis of Related Investment Vehicles Traded in the NYSE and AMEX (January 20, 2011). Available at SSRN: https://ssrn.com/abstract=3390985 or http://dx.doi.org/10.2139/ssrn.3390985

Qingqing Chen (Contact Author)

Government of the United States of America - Office of the Comptroller of the Currency (OCC) ( email )

400 7th Street SW
Washington, DC 20219
United States

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