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Spillover effects between US ETFs and emerging stock markets
Rompotis, Gerasimos G. - In: Global business & economics review 20 (2018) 3, pp. 327-372
Persistent link: https://www.econbiz.de/10011953763
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Exchange traded funds, size-based portfolios, and market efficiency
Kadapakkam, Palani-Rajan; Krause, Timothy; Tse, Yiuman - In: Review of quantitative finance and accounting 45 (2015) 1, pp. 89-110
Persistent link: https://www.econbiz.de/10011333135
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Spillover and leverage effect in Smart Beta Exchange Traded Funds : evidence from India
Vijaya, C.; Thenmozhi, M. - In: Decision : official journal of Indian Institute of … 51 (2024) 1, pp. 105-122
Persistent link: https://www.econbiz.de/10014566032
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Evaluation of leverage effect and spillover effect of Indian broad index exchange traded funds
Sabu, Marvin; Abraham, Sajimon - In: Finance India : the quarterly journal of Indian … 36 (2022) 4, pp. 1313-1324
Persistent link: https://www.econbiz.de/10014340790
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Mind Thy Neighbor's Portfolio : A Network Approach to Contagion in the ETF Market
Iwadate, Bruce - 2021
decade. I show that the network of the ETF market — the linkages between ETFs based on portfolio weights — catalyzes the … dislocations in connected ETFs, followed by strong responses in returns and subsequent reversals with a sizable effect of 4 - 6 …
Persistent link: https://www.econbiz.de/10013309878
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The spillover, risk and leverage effects of smart beta management exchange-traded fund (ETF)
Chen, Jo-hui; Edwards, Nicholas - In: Global economy journal : GEJ 21 (2021) 3, pp. 2150016-1-2150016-24
Persistent link: https://www.econbiz.de/10013174928
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Assessment of return and volatility spillover across sectors' indices : evidence from Pakistan stock exchange
Khalid, Hafiza Muntaha; Farooq, Sadia; Liaqat, Faiza; … - In: International journal of monetary economics and finance … 14 (2021) 5, pp. 477-496
Persistent link: https://www.econbiz.de/10012671202
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A wavelet-based methodology to compare the impact of pandemic versus Russia-Ukraine conflict on crude oil sector and its interconnectedness with other energy and non-energy markets
Roy, Archi; Soni, Anchal; Deb, Soudeep - In: Energy economics 124 (2023), pp. 1-15
Persistent link: https://www.econbiz.de/10014481106
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The Study of the Spillover and Leverage Effects of Financial Exchange Traded Funds (ETFs)
Chen, Johui - 2015
negative asymmetric volatility, suggesting that the value of stock indices and ETFs reveal conditional heterokesdasticity … Average (EGARCH-M-ARMA) models to analyze the spillover, asymmetric volatility, and leverage effects of financial exchange …-traded funds (ETFs). The results show that bilateral relationships exist between financial and non-financial ETFs. Both ETFs have …
Persistent link: https://www.econbiz.de/10013029073
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Higher-order moments and co-moments' contribution to spillover analysis and portfolio risk management
Nekhili, Ramzi; Bouri, Elie - In: Energy economics 119 (2023), pp. 1-16
Persistent link: https://www.econbiz.de/10014285019