Location of trade,return comovements,and diversification benefits: Evidence from Asian country ETFs |
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Institution: | 1. Department of Finance, Ningbo Institute of Technology, Zhejiang University, Ningbo, China;2. Department of Finance, National Sun Yat-sen University, Kaohsiung, Taiwan;3. Department of Accounting Information, National Taichung University of Science and Technology, Taichung, Taiwan |
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Abstract: | Using data from the Asian country ETFs and their MSCI indices, this paper examines whether trading location affects return comovements and diversification benefits. Our empirical results show that the magnitude of return comovements for the Asian country ETFs is higher than the corresponding MSCI indices. Moreover, our empirical findings indicate that the factors, including investor sentiment, market conditions, and economic fundamentals of the U.S. market, have greater effects on the return comovements for the Asian country ETFs than their underlying MSCI indices. Finally, the evidence presents a higher diversification benefit for the Asian MSCI indices than the Asian country ETFs. |
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Keywords: | Return comovements Trading location Investor sentiment Market conditions Economic fundamentals Diversification benefits |
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