full daily return historical data of a sample of 66 equity-linked ETFs traded in the U.S. stock over the period 2001 … root tests adopted reveal the non-existence of such an issue with respect to the pricing of ETFs and, therefore, the …

that condition, volatility in domestic capital market could be affected by volatility from global stock markets. That … concern will be answered in this research, about volatility spillover in Indonesia, USA, and Japan capital market. This … GARCH (1,1). The result showing us that there is one way volatility spillover between Indonesia and USA (USA effecting …

usually present higher risks when considered on their own; for instance higher price volatility and fluctuating liquidity. We …

Exchange traded funds (ETFs), funds structured in order to mimic the performance of selected financial assets, are one …

-term shocks to volatility of all Islamic equity indices. The GCC Islamic equity index is the most susceptible with the shocks …