Where does Volatility and Return Come From? The Case of Asian ETFs

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 volatility, explained by public information released during each local market’s trading session. Local Asian markets also play an important role in determining each Asian ETF return. Nonetheless, returns for these funds are highly correlated with U.S. markets, indicative of the effects of investor sentiment and location of trade. Finally, returns in the U.S. market Granger-cause returns in all six Asian markets analyzed.International ETF; iShares; returns; variance; diversification

Anticipating Change in Development Activity Levels

This study demonstrates how cointegration analysis of privately-owned housing within disparate areas of the United States can aid developers in anticipating changes in the level of market activity. The study analyzes change in the number of housing units within four geographic regions: the Northeast, the Midwest, the South and the West. Whereas most studies of regional variation in real estate activity have focused on short-run analysis, this research extends the examination to consider the impact of exogenous variables over a longer time frame. The study uses Citibase data from 1959 through 1995. Results indicate that the four regions move together in the long run and are driven by one common factor, but that change in the South and the West lead those in the other two regions. Results have widespread policy implications for residential and commercial developers nationwide, because change within the dominant areas may serve as indicators of developing change elsewhere.

Three Essays on Short-Term Interest Rate Futures.

This dissertation examines the relationship between U.S. and Eurodollar interest rates by using daily U.S. Treasury bill and Eurodollar futures. Weak evidence of cointegration is found. The VAR and error correction models do not give better forecast performance than the naive model. Other evidence, particularly the simultaneous equations model, suggests that the hypothesis of contemporaneous relationships is not rejected. Further analysis of the deviations from the cointegrating relationship shows that the Treasury bill and Eurodollar futures are fractionally cointegrated after the 1987 stock market crash. Some preliminary statistics seem to support the hypothesis that these futures interest rates share the same volatility process, which follow a GARCH process. However, this hypothesis is rejected by the common volatility test. A bivariate EGARCH model which allows for asymmetric volatility influence of the TED spread, as well as that of the domestic market, is used to analyze the volatility spillovers between markets. Results show that the lagged TED spread change is the driving force of the volatility process. This dissertation also studies the international transmission of identical Eurodollar futures contracts traded on three exchanges, the IMM, SIMEX, and LIFFE. An approach of variance decomposition and impulse response functions exploring the common factor in the cointegration system is employed. It is shown that the markets are extremely efficient on a daily basis such that each market, when it is trading, impounds all the information that will affect other markets, and rides on the common stochastic trend. The significant results of volatility spillovers among markets suggest that certain market dynamics lead to a continuation of volatility. Particularly, the volatility spillover mechanism may be influenced by the U.S. stock markets. In addition, using a Monte Carlo approach, this dissertation investigates whether the cointegration and fractional cointegration results reported are biased by the GARCH innovations. The size of fractional cointegration tests is evinced to be less distorted by the GARCH effects

Effects of Electronic Trading on the Hang Seng Index Futures Market

Published in International Review of Economics and Finance, 2005, https://doi.org/10.1016/j.iref.2004.03.004</p

THE IMPACT OF OIL PRICE UNCERTAINTY ON US STOCK RETURNS

Oil price uncertainty has a negative and significant impact on stock returns during the period of 2003–2020 but not the earlier period of 1984–2002. The impact of stock price uncertainty on oil returns for both periods is not significant. Oil price uncertainty is important in examining stock price movement, particularly during years of financial crises. Cross-market causalities in returns and volatilities are not significant in both directions

Fractional cointegration tests with GARCH

This paper examines the GARCH effects on the Geweke and Porter-Hudak (GPH) and modified rescaled range (MRR) tests for the analysis of the deviations from the cointegrating relationship among series. The Monte Carlo results show that the MRR test is very robust to the GARCH effects. The GPH test tends to over-reject the null hypothesis of no (fractional) cointegration. but the bias is not very serious except when the variance processes are integrated.