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Volatility, trade size, and order imbalance in China and Japan exchange traded funds

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  • Valeria Martinez
  • Yiuman Tse
  • Jullavut Kittiakarasakun

Abstract

In recent years there have been reports of excessive price volatility and value differences between prices of exchange traded funds (ETFs) and their underlying asset values. The objective of our study is to shed light on these facts by taking a closer look at the relationship between return volatility, trade size, and order imbalance for international ETFs. Even after controlling for order imbalance, volume as represented by number of trades in one of five trade size categories continues to have a significant and predominantly positive impact on volatility. Both trade size and order imbalance are important determinants of the Japan and China ETFs’ price volatility. Copyright Springer Science+Business Media, LLC 2013

Suggested Citation

  • Valeria Martinez & Yiuman Tse & Jullavut Kittiakarasakun, 2013. "Volatility, trade size, and order imbalance in China and Japan exchange traded funds," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 37(2), pages 293-307, April.
    • Handle: RePEc:spr:jecfin:v:37:y:2013:i:2:p:293-307
    DOI: 10.1007/s12197-011-9184-9
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    References listed on IDEAS

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    Cited by:

    1. Chunpeng Yang & Jun Chi, 2023. "Investor sentiment and volatility of exchange‐traded funds: Evidence from China," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 668-680, January.

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    More about this item

    Keywords

    International ETF; iShares; Order Imbalance; Returns; Variance; F30; G15;
    All these keywords.

    JEL classification:

    • F30 - International Economics - - International Finance - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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