Where does return and volatility come from? The case of Asian ETFs
AbstractWe 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.
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Bibliographic InfoArticle provided by Elsevier in its journal International Review of Economics & Finance.
Volume (Year): 18 (2009)
Issue (Month): 4 (October)
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Web page: http://www.elsevier.com/locate/inca/620165
International ETF iShares Returns Variance Diversification;
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