Volatility characteristics of stocks underlying Exchange Traded Funds in South Africa
Justice Matarutse
Journal of Economics and Behavioral Studies, 2014, vol. 6, issue 10, 829-839
Abstract:
Exchange Traded Funds (ETFs), since their inception, are now taking a foothold in emerging markets. The study measures price volatility in ETFs and their underlying stocks before and after ETF inception so as to provide new evidence of the volatility implications of ETFs for financial markets. The analysis focuses on the Johannesburg Stock Exchange (JSE) SatrixTop40 ETF and its components using an EGARCH (1, 1) model. The analysis focuses on leverage effects, absolute size of volatility innovations and volatility persistence, and concludes that these volatility characteristics have changed and/or increased after the Satrix Top40 ETF introduction on the JSE.
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)
Downloads: (external link)
https://ojs.amhinternational.com/index.php/jebs/article/view/542/542 (application/pdf)
https://ojs.amhinternational.com/index.php/jebs/article/view/542 (text/html)
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:rnd:arjebs:v:6:y:2014:i:10:p:829-839
DOI: 10.22610/jebs.v6i10.542
Access Statistics for this article
More articles in Journal of Economics and Behavioral Studies from AMH International
Bibliographic data for series maintained by Muhammad Tayyab ().