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

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