THE SPILLOVER AND LEVERAGE EFFECTS OF EQUITY EXCHANGE-TRADED NOTES (ETNS)

Jo-Hui Chen () and John Francis Diaz ()
Additional contact information
Jo-Hui Chen: Department of Finance, Chung Yuan Christian University, Chung-li, Taiwan
John Francis Diaz: Department of Finance and Department of Accounting, Chung Yuan Christian University, Chung-li, Taiwan

Global Economy Journal (GEJ), 2019, vol. 19, issue 03, 1-17

Abstract: This research utilizes the Autoregressive Moving Average–General Autoregressive Conditional Heteroskedasticity (ARMA–GARCH) and Autoregressive Moving Average–Exponential General Autoregressive Conditional Heteroskedasticity (ARMA–EGARCH) in studying the spillover and leverage effects of returns and volatilities of seven equity exchange-traded notes (ETNs) and their tracked stock indices. This study finds positive returns transmissions between the two investment instruments. Unilateral influence and bilateral relationships also exist that may help investors in finding investment clues to approximate possible movements of ETNs about stock indices and vice versa. This paper also observes negative returns and volatility transmissions that may caution traders in the possible reversal of movement of the other instrument. Disinvestments, transfer of allocation, and inverse investing strategies are some of the possible reasons attributable to this negative relation.

Keywords: Equity ETNs; spillover effects; leverage effect; ARMA–GARCH/EGARCH (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S2194565919500131
Access to full text is restricted to subscribers

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:wsi:gejxxx:v:19:y:2019:i:03:n:s2194565919500131

Ordering information: This journal article can be ordered from

DOI: 10.1142/S2194565919500131

Access Statistics for this article

Global Economy Journal (GEJ) is currently edited by Joseph Pelzman

More articles in Global Economy Journal (GEJ) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().