As stock market indexes are not tradeable, the importance and trading volume of Exchange Traded Funds (ETFs) cannot be … understated. ETFs track and attempt to replicate the performance of a specific index. Numerous studies have demonstrated a strong … relationship between the S&P500 Composite Index and the Volatility Index (VIX), but few empirical studies have focused on the …

relationship and the interactions on price and volatility, with special focus on the covolatility spillover effects for these two … volatility or covolatility in another asset, between the energy and agricultural industries is the primary emphasis of the paper … sought to find a relationship among commodity prices. Only a few published papers have been concerned with volatility …

's subsequent volatility in both spot and futures markets. Financial derivatives, which are not only highly representative of the … underlying indices but can also be traded on both the spot and futures markets, include Exchange Traded Funds (ETFs), which is a … futures. The purpose of the paper is to investigate the co-volatility spillovers within and across the US energy and financial …

) prices that are related to natural gas stock prices. The volatility spillover effect is the delayed effect of a returns shock … in one physical, biological or financial asset on the subsequent volatility or co-volatility of another physical …, biological or financial asset. Investigating volatility spillovers within and across energy and financial markets is a crucial …

intra-day data. The paper analyses the relationships among the S&P 500 Index and futures prices, returns and volatility of … intra-day temporal aggregation in examining returns relationships and volatility spillovers across the equity and energy … futures markets, and the effects of overnight returns, volume, realized volatility, asymmetry, and spillovers across the four …

average daily returns, even though the volatility is virtually unchanged when the frequency is lower. The volatility from the … highest to the lowest frequency is about 30% lower as compared with the buy-and-hold strategy volatility, but the average … returns approach the buy-and-hold returns when frequency is lower. The 30% reduction in volatility appears if we invest …