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Keywords: Pairs trading
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Journal Articles
Asynchronous ADRs: overnight vs intraday returns and trading strategies
Available to Purchase
Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2017) 34 (4): 580–596.
Published: 02 October 2017
... market returns. The return spreads between the S&P500 and ADRs are found to be a mean-reverting time series and motivate a pairs trading strategy. Research limitations/implications The methodology used in this study is not limited to Asian ADRs and can be adapted to analyze the overnight...
