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Faculty Selected Works of Yiuman Tse
Article
Where does return and volatility come from? The case of Asian ETFs
International Review of Economics & Finance (2009)
  • Jose A. Gutierrez, University of Texas at San Antonio
  • Valeria Martinez, Fairfield University
  • Yiuman Tse, University of Texas at San Antonio
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Abstract
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 are analyzed.
Disciplines
Publication Date
October 1, 2009
DOI
10.1016/J.IREF.2009.02.012
Citation Information
Jose A. Gutierrez, Valeria Martinez and Yiuman Tse. "Where does return and volatility come from? The case of Asian ETFs" International Review of Economics & Finance Vol. 18 Iss. 4 (2009) p. 671 - 679
Available at: http://works.bepress.com/yiuman-tse/125/