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.
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Paper provided by College of Business, University of Texas at San Antonio in its series Working Papers with number
0063.
Find related papers by JEL classification: F30 - International Economics - - International Finance - - - General G15 - Financial Economics - - General Financial Markets - - - International Financial Markets