The Study of the Spillover and Leverage Effects of Financial Exchange Traded Funds (ETFs)

Chen, Jo-Hui and Malinda, Maya (2014) The Study of the Spillover and Leverage Effects of Financial Exchange Traded Funds (ETFs). Frontiers in Finance and Economics, 11. pp. 41-59.

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Abstract

This study adopts the Generalized Autoregressive Conditional Heteroskedasticity-in-Mean Autoregressive Moving Average (GARCH-M-ARMA) and Exponentially Generalized Autoregressive Conditional Heteroskedasticity-in-Mean Autoregressive Moving 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 negative asymmetric volatility, suggesting that the value of stock indices and ETFs reveal conditional heterokesdasticity. Financial and non-financial ETFs also have negative leverage effects on benchmark indexes. Bilateral relations in terms of the spillover effects of volatilities and leverage effects exist between financial and non-financial ETFs.

Item Type: Article
Uncontrolled Keywords: Spillover Effect, Asymmetric-Volatility, Leverage Effect, Financial ETFs
Subjects: H Social Sciences > H Social Sciences (General)
Divisions: Faculty of Economics > 52 Management Department
Depositing User: Perpustakaan Maranatha
Date Deposited: 10 Jan 2019 05:56
Last Modified: 18 Jan 2019 05:55
URI: http://repository.maranatha.edu/id/eprint/25234

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