Where does Volatility and Return Come From? The Case of Asian ETFs

Yiuman Tse and Jose Gutierrez
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Yiuman Tse: The University of Texas at San Antonio
Jose Gutierrez: The University of Texas at San Antonio

No 63, Working Papers from College of Business, University of Texas at San Antonio

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 analyzed.

Keywords: International ETF; iShares; returns; variance; diversification (search for similar items in EconPapers)
JEL-codes: F30 G15 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2009-03-11
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Citations: View citations in EconPapers (27)

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