Gutierrez, Jose A.; Martinez, Valeria; Tse, Yiuman - In: International Review of Economics & Finance 18 (2009) 4, pp. 671-679
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. We find Asian ETFs have higher overnight volatility than daytime...