For the DAX index market, this paper analyses the development of return differences between exchange traded funds (ETFs … financial statements. This enables to test for product-specific return differences and to identify relevant cost drivers such as …. Product-specific return differences are significant, however, differences tend to converge over time. For all ETFs, deviations …

volatility and amplify the risk of market disruptions in fixed income markets. …In this work, I study the impact of high-frequency trading (HFT) on price discovery and volatility in the Bund futures … price discovery compared to Non-HFTs, but also add a higher share to noise than to permanent volatility. Moreover, I find …

results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio … framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our … over the different stages of the recent crisis. In particular, our results of the return spillovers show that such …

response to lower in-terest rates, and vice versa. Institutional funds' risk-taking increases when interest rates turn negative …, particularly in funds with explicit minimum return guarantees. Their trading has large and persistent price impact. We provide …

persistence of different types of oil price shocks on stock return volatility and the covariance between oil price changes and …We use volatility impulse response analysis estimated from the bivariate GARCH-BEKK model to quantify the size and the …