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

Valeria Martinez, Yiuman Tse () and Jullavut Kittiakarasakun

Journal of Economics and Finance, 2013, vol. 37, issue 2, 293-307

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

Keywords: International ETF; iShares; Order Imbalance; Returns; Variance; F30; G15 (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1007/s12197-011-9184-9

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