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

Kadapakkam, Palani-Rajan; Krause, Timothy; Tse, Yiuman - In: Review of quantitative finance and accounting 45 (2015) 1, pp. 89-110

Persistent link: https://www.econbiz.de/10011333135

China's exchange traded fund : is there a trading place bias?

Cheng, Louis T. W.; Fung, Hung-gay; Tse, Yiuman - In: Review of Pacific Basin financial markets and policies 11 (2008) 1, pp. 61-74

Persistent link: https://www.econbiz.de/10003679976

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

Martinez, Valeria; Tse, Yiuman; Kittiakarasakun, Jullavut - In: Journal of economics and finance 37 (2013) 2, pp. 293-307

Persistent link: https://www.econbiz.de/10009750350

Volatility and return spillovers in Canadian and US industry ETFs

Krause, Timothy; Tse, Yiuman - In: International review of economics & finance : IREF 25 (2013), pp. 244-259

Persistent link: https://www.econbiz.de/10009693301

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

Persistent link: https://www.econbiz.de/10011534898

International asset allocation with regime switching : evidence from the ETFs

Jiang, Pan; Liu, Qingfu; Tse, Yiuman - In: Asia-Pacific journal of financial studies 44 (2015) 5, pp. 661-687

Persistent link: https://www.econbiz.de/10011470997

Can Island provide liquidity and price discovery in the dark?

Tse, Yiuman; Hackard, James C. - In: Review of quantitative finance and accounting 23 (2004) 2, pp. 149-166

Persistent link: https://www.econbiz.de/10002257630

Overnight returns of stock indexes : evidence from ETFs and futures

Liu, Qingfu; Tse, Yiuman - In: International review of economics & finance : IREF 48 (2017), pp. 440-451

Persistent link: https://www.econbiz.de/10011747329

China's Exchange Traded Fund : Is There a Trading Place Bias?

Cheng, Louis T. W. - 2009

We use Granger causality tests and an EGARCH model to analyze the pricing relations in the US between two exchange traded funds, the iShares FTSE/Xinhua China 25 Index (FXI) and the S&P 500 Index Fund (IVV). Daily data indicates that Hong Kong home market basically drives the FXI returns in the...

Persistent link: https://www.econbiz.de/10013155665

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