providers get a significant abnormal return by trading against index trackers. The return is highest for bonds that are excluded … profitable than at inclusions because index trackers follow a sampling strategy and returns also increase when liquidity … provision becomes more expensive. Furthermore, price reactions following index changes are reversed shortly after the event date …

We construct a network volatility index (NetVIX) via market interconnectedness and volatilities to measure global … market turbulence. The NetVIX multiplicatively decomposes into an average volatility and a network amplifier index. It also …