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Journal of Economics and Finance

Erschienen in:

01.04.2013

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

verfasst von: Valeria Martinez, Yiuman Tse, Jullavut Kittiakarasakun

Erschienen in: Journal of Economics and Finance | Ausgabe 2/2013

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Abstract

In recent years there have been reports of excessive price volatility and value differences between prices of exchange traded funds (ETFs) and their underlying asset values. The objective of our study is to shed light on these facts by taking a closer look at the relationship between return volatility, trade size, and order imbalance for international ETFs. Even after controlling for order imbalance, volume as represented by number of trades in one of five trade size categories continues to have a significant and predominantly positive impact on volatility. Both trade size and order imbalance are important determinants of the Japan and China ETFs’ price volatility.

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Results using share volume are qualitatively the same.

More detailed regression diagnostics are available upon request.

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Titel: Volatility, trade size, and order imbalance in China and Japan exchange traded funds
verfasst von: Valeria Martinez
Yiuman Tse
Jullavut Kittiakarasakun
Publikationsdatum: 01.04.2013
Verlag: Springer US
Erschienen in: Journal of Economics and Finance / Ausgabe 2/2013
Print ISSN: 1055-0925
Elektronische ISSN: 1938-9744
DOI: https://doi.org/10.1007/s12197-011-9184-9

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