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

An analysis of returns and volatility spillovers and their determinants in emerging Asian and Middle Eastern countries

“…This result is somewhat consistent with studies by Bekaert and Harvey (1997), Masih and Masih (1999) and Gutierrez et al (2009) indicate the dominance of US shares in Asian markets. However, we also observe that in countries with a relatively underdeveloped capital market (e.g., Bangladesh, Pakistan and the Philippines) the spillovers are stronger.…”

Quantifying the Effects of New Derivative Introduction on Exchange Volatility, Efficiency and Liquidity

“…Further, stocks whose liquidity recovered more by the end of the month also enjoyed a greater recovery in price. Amihud et al (1997) find that their trading volume increased significantly relative to the market and their liquidity ratio 69 declined. Consequently, the prices of the equities increased by at least 5% to 6% and 68 The bid-ask spread for securities (such as stocks, futures contracts, options, or currency pairs) is the difference between the prices quoted (either by a single market maker or in a limit order book) for an immediate sale (ask) and an immediate purchase (bid).…”

“…There are many issues associated with this style of investment that have created some cause for concern. One concern is the ease of access for some investors who would otherwise have been unable to enter the market who can now enter and exit the market, as frequently and easily as they desire (Gutierrez et al 2009). These investors are found to contribute to a facet of investment known as 'noise trading'.…”

“…Market depth closely relates to the notion of liquidity, the ease to find a trading partner for a given order: a deep market is also a liquid market. 69 The reserve requirement is a central bank regulation that sets the minimum reserves each commercial bank must hold of customer deposits and notes. It is normally in the form of cash stored physically in a bank vault or deposits made with a central bank.…”

Long Memory in Asymmetric Volatility of Asean Exchange-Traded Funds

“…Gutierrez et al found different return and volatility of Asian ETFs which traded in the United States [15]. Liu et al forecasted volatility and value at risk SPDRs with GARCH, IGARCH, EGARCH models [16].…”