This study evaluates whether exchange traded funds (ETFs) threaten fnancial market stability by testing two hypotheses relating the growing importance of ETFs to increased market volatility and rising equity valuations. We estimate quantile cointegration models using Standard & Poor's 500 Index...

This paper presents a novel test of cointegration that is robust to general forms of weak dependence in the innovation sequences and is simple to implement. In contrast to existing procedures, this is achieved without applying corrections to the test statistic for removing the effect of serial...