This article examines the tracking performance of the United States-listed Guggenheim China Real Estate Exchange-Traded Fund (NYSE ticker: TAO) relative to its underlying benchmark index (Alphashare China Real Estate Index, ACNRET) and the actual China Home Price Index (CHPI). The daily return...

iThis study concerns the market structure, volatility, and performance of H shares, stocks of mainland Chinaâincorporated companies that are listed in Hong Kong. This paper documents major events and key factors that have driven the performance and volatility of the H-share market since its...

The large deviation of the actual return of a leveraged exchange-traded fund (LETF) from the leveraged multiple of the underlying index return has drawn considerable attention from investors, regulators, and the financial media. Despite this attention, the sources and fundamental determinants of...

This study examines the tracking performance of U.S.-traded International Leveraged Exchanged-traded Funds (ILETFs) that track the following markets: Brazil, China, Europe, Japan, and Mexico. We find that the beta and returns of these ILETFs can deviate dramatically from their naïve expected...

Using a bivariate, asymmetric generalized autoregressive conditional heteroskedasticity model, we examine the patterns of information flows for three financial futures contracts that are dual‐listed on U.S. and Asian markets (i.e., Nikkei 225 Index, Eurodollar, and dollar–yen currency...

In this paper, we examine the relationship between volume and return volatility using the transaction data. We introduce transaction and volume imbalance measures to capture the information content of trades. These two information measures are shown to have a strong explanatory power for return...

Using a bivariate GARCH model, we examine patterns of information flows for three commodity futures traded in both the developed U.S. market and the emerging China market (copper, soybeans and wheat). For copper and soybeans, the two commodities that are subject to less government regulation and...