Volatility, Trade Size, and Order Imbalance in China and Japan Exchange Traded Funds

Yiuman Tse; Valeria Martinez; Jullavut Kittiakarasakun

doi:10.1007/s12197-011-9184-9

Volatility, Trade Size, and Order Imbalance in China and Japan Exchange Traded Funds

Yiuman Tse, Valeria Martinez, Jullavut Kittiakarasakun

University of Missouri-St. Louis

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

Original language	American English
Journal	Journal of Economics and Finance
Volume	37
DOIs	https://doi.org/10.1007/s12197-011-9184-9
State	Published - 2013

Keywords

International ETF
iShares
Order Imbalance
Returns
Variance

Disciplines

Economics

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Cite this

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title = "Volatility, Trade Size, and Order Imbalance in China and Japan Exchange Traded Funds",

keywords = "International ETF, iShares, Order Imbalance, Returns, Variance",

author = "Yiuman Tse and Valeria Martinez and Jullavut Kittiakarasakun",

note = "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.",

year = "2013",

doi = "10.1007/s12197-011-9184-9",

language = "American English",

volume = "37",

journal = "Journal of Economics and Finance",

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TY - JOUR

T1 - Volatility, Trade Size, and Order Imbalance in China and Japan Exchange Traded Funds

AU - Tse, Yiuman

AU - Martinez, Valeria

AU - Kittiakarasakun, Jullavut

N1 - 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.

PY - 2013

Y1 - 2013

KW - International ETF

KW - iShares

KW - Order Imbalance

KW - Returns

KW - Variance

UR - https://doi.org/10.1007/s12197-011-9184-9

U2 - 10.1007/s12197-011-9184-9

DO - 10.1007/s12197-011-9184-9

M3 - Article

VL - 37

JO - Journal of Economics and Finance

JF - Journal of Economics and Finance

ER -

Volatility, Trade Size, and Order Imbalance in China and Japan Exchange Traded Funds

Keywords

Disciplines

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