Volatility and return spillovers in Canadian and U.S. industry ETFs

Timothy Krause and Yiuman Tse

International Review of Economics & Finance, 2013, vol. 25, issue C, 244-259

Abstract: Exchange-traded funds (ETFs) are now an important source of information dissemination in Canadian and U.S. equity markets, and we provide new evidence regarding price discovery and volatility spillovers in these securities. We find that price discovery flows consistently from the U.S. to Canada for these securities, while volatility spillovers are largely bi-directional. Information is impounded more rapidly into returns through trading in U.S securities, and the combination of negative U.S. return spillovers and asymmetric volatility creates bi-directional volatility feedback effects. The results are relevant to market participants and Canadian market regulators since Canadian circuit-breakers are tied to U.S. market conditions.

Keywords: Industrial structure; Industry ETF; Financial market integration; Volatility spillovers; Granger-causality (search for similar items in EconPapers)
JEL-codes: F30 G15 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (35)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:25:y:2013:i:c:p:244-259

DOI: 10.1016/j.iref.2012.07.009

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