Liquidity Commonality and Spillover in the U.S. and Japanese Markets: An Intraday Analysis Using the Exchange-traded Funds

Yiuman Tse; Vinay Datar; Raymond W. So

doi:10.1007/S11156-008-0084-9

Liquidity Commonality and Spillover in the U.S. and Japanese Markets: An Intraday Analysis Using the Exchange-traded Funds

Yiuman Tse, Vinay Datar, Raymond W. So

University of Missouri-St. Louis

Research output: Contribution to journal › Article › peer-review

Original language	American English
Journal	Review of Quantitative Finance and Accounting
Volume	31
DOIs	https://doi.org/10.1007/S11156-008-0084-9
State	Published - 2008

Keywords

exchange traded funds
commonality
intraday liquidity

Disciplines

Business

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10.1007/S11156-008-0084-9License: Unspecified

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@article{f9524977c56c40d8a9c4a19b4bfb40ac,

title = "Liquidity Commonality and Spillover in the U.S. and Japanese Markets: An Intraday Analysis Using the Exchange-traded Funds",

keywords = "exchange traded funds, commonality, intraday liquidity",

author = "Yiuman Tse and Vinay Datar and So, \{Raymond W.\}",

note = "This article examines the intraday returns and liquidity patterns of the Standard \& Poor's Depositary Receipts (SPY) and the iShares Morgan Stanley Capital International Inc. (MSCI) Japan Index Fund (EWJ). These exchange-traded funds seemingly have very different holdings, namely, US stocks and Japanese stocks.",

year = "2008",

doi = "10.1007/S11156-008-0084-9",

language = "American English",

volume = "31",

journal = "Review of Quantitative Finance and Accounting",

}

TY - JOUR

T1 - Liquidity Commonality and Spillover in the U.S. and Japanese Markets: An Intraday Analysis Using the Exchange-traded Funds

AU - Tse, Yiuman

AU - Datar, Vinay

AU - So, Raymond W.

N1 - This article examines the intraday returns and liquidity patterns of the Standard & Poor's Depositary Receipts (SPY) and the iShares Morgan Stanley Capital International Inc. (MSCI) Japan Index Fund (EWJ). These exchange-traded funds seemingly have very different holdings, namely, US stocks and Japanese stocks.

PY - 2008

Y1 - 2008

KW - exchange traded funds

KW - commonality

KW - intraday liquidity

UR - https://doi.org/10.1007/S11156-008-0084-9

U2 - 10.1007/S11156-008-0084-9

DO - 10.1007/S11156-008-0084-9

M3 - Article

VL - 31

JO - Review of Quantitative Finance and Accounting

JF - Review of Quantitative Finance and Accounting

ER -

Liquidity Commonality and Spillover in the U.S. and Japanese Markets: An Intraday Analysis Using the Exchange-traded Funds

Keywords

Disciplines

Access to Document

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