English, Article, Journal or magazine article edition: Where does Volatility and Return Come From? The Case of Asian ETFs Yiuman Tse; Jose A. Gutierrez

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Bookmark: http://trove.nla.gov.au/version/198319
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Where does Volatility and Return Come From? The Case of Asian ETFs
Author
  • Yiuman Tse
  • Jose A. Gutierrez
Physical Description
  • preprint
Notes
  • We analyze return and volatility of Asian iShares traded in the U.S. The difference in trading schedules between the U.S. and Asia offers a unique market setting that allows us to distinguish various return and volatility sources. We find Asian ETFs have higher overnight volatility than daytime volatility, explained by public information released during each local market’s trading session. Local Asian markets also play an important role in determining each Asian ETF return. Nonetheless, returns for these funds are highly correlated with U.S. markets, indicative of the effects of investor sentiment and location of trade. Finally, returns in the U.S. market Granger-cause returns in all six Asian markets analyzed.
  • International ETF; iShares; returns; variance; diversification
  • RePEc:tsa:wpaper:0059
Language
  • English
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