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Variance of ADR returns: information effect and influence of trading in the U.S. market

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  • Park, Jinwoo

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  • Park, Jinwoo, 1995. "Variance of ADR returns: information effect and influence of trading in the U.S. market," International Review of Economics & Finance, Elsevier, vol. 4(2), pages 105-114.
    • Handle: RePEc:eee:reveco:v:4:y:1995:i:2:p:105-114
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    References listed on IDEAS

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    1. David H. Cutler & James M. Poterba & Lawrence H. Summers, 1988. "What Moves Stock Prices?," Working papers 487, Massachusetts Institute of Technology (MIT), Department of Economics.
    2. Alexander, Gordon J. & Eun, Cheol S. & Janakiramanan, S., 1988. "International Listings and Stock Returns: Some Empirical Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(2), pages 135-151, June.
    3. French, Kenneth R. & Roll, Richard, 1986. "Stock return variances : The arrival of information and the reaction of traders," Journal of Financial Economics, Elsevier, vol. 17(1), pages 5-26, September.
    4. Barclay, Michael J & Litzenberger, Robert H & Warner, Jerold B, 1990. "Private Information, Trading Volume, and Stock-Return Variances," The Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 233-253.
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    Cited by:

    1. Blau, Benjamin M., 2018. "Exchange rate volatility and the stability of stock prices," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 299-311.

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