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 returns. Nonetheless, returns for these funds are highly correlated with U.S. markets, indicative of the investor sentiment effect. Finally, volatility in U.S. markets Grangercauses volatility in all Asian markets analyzed.