Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

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

16 references·5 citing·45 second hop

FromToDepth

this work references cited by second hop

References

2001The distribution of realized stock return volatility2,264 cited
2001The Distribution of Realized Exchange Rate Volatility2,108 cited
1986Stock return variances1,813 cited
2002Order imbalance, liquidity, and market returns914 cited
1994Transactions, Volume, and Volatility870 cited
1987Trading Mechanisms and Stock Returns: An Empirical Investigation769 cited
1999How are stock prices affected by the location of trade?550 cited
1990Stock Market Structure and Volatility544 cited
2003Price Discovery and Trading After Hours407 cited
2001Risk Management for Hedge Funds: Introduction and Overview379 cited
1995Closed-end Country Funds and U.S. Market Sentiment358 cited
1990Private Information, Trading Volume, and Stock-Return Variances334 cited
1991Volatility in the Foreign Currency Futures Market284 cited
2006A comparison of variance ratio tests of random walk: A case of Asian emerging stock markets224 cited
1990International Investment Restrictions and Closed‐End Country Fund Prices206 cited
2003Location of trade, ownership restrictions, and market illiquidity: Examining Chinese A- and H-shares

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

179 cited

Cited by

2010Modeling the fat tails in Asian stock markets39 cited
2021Investor attention, ETF returns, and country-specific factors28 cited
2011Volatility forecasting of exchange rate by quantile regression28 cited
2011Forecasting the volatility of S&P depositary receipts using GARCH-type models under intraday range-based and return-based proxy measures25 cited
2011Intraday trading activities and volatility in round-the-clock futures markets24 cited