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Three essays on information transmission in financial markets

Hackard, James C. - 2006

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International asset allocation with regime switching : evidence from the ETFs

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Momentum strategies with stock index exchange-traded funds

Tse, Yiuman - In: The North American journal of economics and finance : a … 33 (2015), pp. 134-148

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Exchange traded funds, size-based portfolios, and market efficiency

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Overnight returns of stock indexes : evidence from ETFs and futures

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

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Volatility and return spillovers in Canadian and US industry ETFs

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Overnight Returns of Stock Indexes : Evidence from ETFs and Futures

Liu, Qingfu - 2017

During the period 1999-2014, overnight returns of US exchange-traded index funds and most international index futures are significantly positive, while returns during trading hours are negative. The overnight volatility is lower than the trading volatility. Estimating the value at risk and...

Persistent link: https://www.econbiz.de/10012962535