For the DAX index market, this paper analyses the development of return differences between exchange traded funds (ETFs … index returns and market makers. Results reveal that on average, DAX ETFs costs considerably exceed total expense ratios …. Product-specific return differences are significant, however, differences tend to converge over time. For all ETFs, deviations …

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 …