@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",
}