The Study of the Spillover and Leverage Effects of Financial Exchange Traded Funds (ETFs)
This study adopts the Generalized Autoregressive Conditional Heteroskedasticity-in-Mean Autoregressive Moving Average (GARCH-M-ARMA) and Exponentially Generalized Autoregressive Conditional Heteroskedasticity-in-Mean Autoregressive Moving Average (EGARCH-M-ARMA) models to analyze the spillover, asymmetric volatility, and leverage effects of financial exchange-traded funds (ETFs). The results show that bilateral relationships exist between financial and non-financial ETFs. Both ETFs have negative asymmetric volatility, suggesting that the value of stock indices and ETFs reveal conditional heterokesdasticity. Financial and non-financial ETFs also have negative leverage effects on benchmark indexes. Bilateral relations in terms of the spillover effects of volatilities and leverage effects exist between financial and non-financial ETFs
Year of publication: |
2015
|
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Authors: | Chen, Johui |
Other Persons: | Malinda, Maya (contributor) |
Publisher: |
[2015]: [S.l.] : SSRN |
Subject: | Indexderivat | Index derivative | Spillover-Effekt | Spillover effect | Investmentfonds | Investment Fund | Volatilität | Volatility |
Saved in:
freely available
Extent: | 1 Online-Ressource (19 p) |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 1, 2014 erstellt |
Classification: | G1 - General Financial Markets |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013029073
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