Where does return and volatility come from? The case of Asian ETFs

Jose A. Gutierrez; Valeria Martinez; Yiuman Tse

doi:10.1016/J.IREF.2009.02.012

Where does return and volatility come from? The case of Asian ETFs

Jose A. Gutierrez, Valeria Martinez, Yiuman Tse

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

Original language	American English
Journal	International Review of Economics & Finance
Volume	18
DOIs	https://doi.org/10.1016/J.IREF.2009.02.012
State	Published - Oct 1 2009
Externally published	Yes

Disciplines

Economics
Finance

Access to Document

10.1016/J.IREF.2009.02.012License: Unspecified

Cite this

@article{ba1a131dd6594c6089de85b124bdaf30,

title = "Where does return and volatility come from? The case of Asian ETFs",

author = "Gutierrez, \{Jose A.\} and Valeria Martinez and Yiuman Tse",

note = "Downloadable (with restrictions)! 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.",

year = "2009",

month = oct,

day = "1",

doi = "10.1016/J.IREF.2009.02.012",

language = "American English",

volume = "18",

journal = "International Review of Economics \& Finance",

}

TY - JOUR

T1 - Where does return and volatility come from? The case of Asian ETFs

AU - Gutierrez, Jose A.

AU - Martinez, Valeria

AU - Tse, Yiuman

N1 - Downloadable (with restrictions)! 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.

PY - 2009/10/1

Y1 - 2009/10/1

UR - https://ideas.repec.org/a/eee/reveco/v18y2009i4p671-679.html

U2 - 10.1016/J.IREF.2009.02.012

DO - 10.1016/J.IREF.2009.02.012

M3 - Article

VL - 18

JO - International Review of Economics & Finance

JF - International Review of Economics & Finance

ER -

Where does return and volatility come from? The case of Asian ETFs

Disciplines

Access to Document

Other files and links

Cite this