It has been established in the literature that volatility of stock returns exhibits complex properties of not only … volatility clustering, but also long memory, regime change, and substantial outliers during turbulent and calm periods. Hence …, this paper seeks to analyze volatility spillover, co-movements, independence and contagion in the Chinese, Japanese …

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 …

stock, bond, commodity, real estate and oil indexes. We also study these indexes tracking exchange traded funds (ETFs) to …

This paper examines the causes and consequences of hedge fund investments in exchange traded funds (ETFs) using U … likely to invest in ETFs. Unexpected hedge fund inflows cause a rise in ETF investments, and the economic significance of …

network structures do overcome the problem of N-dependence, but at the same time they also increase system-wide volatility …. Thus network structure becomes an auxiliary source of volatility in addition to the behavioral heterogeneity of interacting …

)variances of the US Dow Jones and the German stock index DAX, we analyze intra-daily volatility spillovers between the US and …-synchronous and partially overlapping opening hours of the two markets. We find evidence of significant short-term volatility …-term volatility shocks is considerably higher and the spillovers effects between the US and the German stock markets are significantly …

describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …