An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors

It is well known that that there is an intrinsic link between the financial and energy sectors, which can be analyzed through their spillover effects, which are measures of how the shocks to returns in different assets affect each other’s subsequent volatility in both spot and futures markets. Finan...

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Detalles Bibliográficos
Autores: Chang, Chia-Lin, McAleer, Michael, Wang, Chien-Hsun
Tipo de recurso: informe técnico
Fecha de publicación:2016
País:España
Institución:Universidad Complutense de Madrid (UCM)
Repositorio:Docta Complutense
Idioma:inglés
OAI Identifier:oai:docta.ucm.es:20.500.14352/27579
Acceso en línea:https://hdl.handle.net/20.500.14352/27579
Access Level:acceso abierto
Palabra clave:C58
G13
G23
G31
Q41
Exchange traded funds
Financial and energy sectors
Co-volatility spillovers
Spot and futures prices
Generated regressors
Diagonal BEKK.
Econometría (Economía)
Marketing
5302 Econometría
5311.05 Marketing (Comercialización)
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oai_identifier_str oai:docta.ucm.es:20.500.14352/27579
network_acronym_str ES
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repository_id_str
spelling An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressorsChang, Chia-LinMcAleer, MichaelWang, Chien-HsunC58G13G23G31Q41Exchange traded fundsFinancial and energy sectorsCo-volatility spilloversSpot and futures pricesGenerated regressorsDiagonal BEKK.Econometría (Economía)Marketing5302 Econometría5311.05 Marketing (Comercialización)It is well known that that there is an intrinsic link between the financial and energy sectors, which can be analyzed through their spillover effects, which are measures of how the shocks to returns in different assets affect each other’s subsequent volatility in both spot and futures markets. Financial derivatives, which are not only highly representative of the underlying indices but can also be traded on both the spot and futures markets, include Exchange Traded Funds (ETFs), which is a tradable spot index whose aim is to replicate the return of an underlying benchmark index. When ETF futures are not available to examine spillover effects, “generated regressors” may be used to construct both Financial ETF futures and Energy ETF futures. The purpose of the paper is to investigate the covolatility spillovers within and across the US energy and financial sectors in both spot and futures markets, by using “generated regressors” and a multivariate conditional volatility model, namely Diagonal BEKK. The daily data used are from 1998/12/23 to 2016/4/22. The data set is analyzed in its entirety, and also subdivided into three subset time periods. The empirical results show there is a significant relationship between the Financial ETF and Energy ETF in the spot and futures markets. Therefore, financial and energy ETFs are suitable for constructing a financial portfolio from an optimal risk management perspective, and also for dynamic hedging purposes.Facultad de Ciencias Económicas. Instituto Complutense de Análisis Económico (ICAE)Universidad Complutense de Madrid20162016-01-0120162016-01-01technical reporthttp://purl.org/coar/resource_type/c_18ghinfo:eu-repo/semantics/reportapplication/pdfhttps://hdl.handle.net/20.500.14352/27579reponame:Docta Complutenseinstname:Universidad Complutense de Madrid (UCM)Inglésengopen accesshttp://purl.org/coar/access_right/c_abf2info:eu-repo/semantics/openAccessoai:docta.ucm.es:20.500.14352/275792026-06-02T12:44:21Z
dc.title.none.fl_str_mv An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors
title An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors
spellingShingle An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors
Chang, Chia-Lin
C58
G13
G23
G31
Q41
Exchange traded funds
Financial and energy sectors
Co-volatility spillovers
Spot and futures prices
Generated regressors
Diagonal BEKK.
Econometría (Economía)
Marketing
5302 Econometría
5311.05 Marketing (Comercialización)
title_short An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors
title_full An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors
title_fullStr An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors
title_full_unstemmed An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors
title_sort An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors
dc.creator.none.fl_str_mv Chang, Chia-Lin
McAleer, Michael
Wang, Chien-Hsun
author Chang, Chia-Lin
author_facet Chang, Chia-Lin
McAleer, Michael
Wang, Chien-Hsun
author_role author
author2 McAleer, Michael
Wang, Chien-Hsun
author2_role author
author
dc.contributor.none.fl_str_mv Universidad Complutense de Madrid
dc.subject.none.fl_str_mv C58
G13
G23
G31
Q41
Exchange traded funds
Financial and energy sectors
Co-volatility spillovers
Spot and futures prices
Generated regressors
Diagonal BEKK.
Econometría (Economía)
Marketing
5302 Econometría
5311.05 Marketing (Comercialización)
topic C58
G13
G23
G31
Q41
Exchange traded funds
Financial and energy sectors
Co-volatility spillovers
Spot and futures prices
Generated regressors
Diagonal BEKK.
Econometría (Economía)
Marketing
5302 Econometría
5311.05 Marketing (Comercialización)
description It is well known that that there is an intrinsic link between the financial and energy sectors, which can be analyzed through their spillover effects, which are measures of how the shocks to returns in different assets affect each other’s subsequent volatility in both spot and futures markets. Financial derivatives, which are not only highly representative of the underlying indices but can also be traded on both the spot and futures markets, include Exchange Traded Funds (ETFs), which is a tradable spot index whose aim is to replicate the return of an underlying benchmark index. When ETF futures are not available to examine spillover effects, “generated regressors” may be used to construct both Financial ETF futures and Energy ETF futures. The purpose of the paper is to investigate the covolatility spillovers within and across the US energy and financial sectors in both spot and futures markets, by using “generated regressors” and a multivariate conditional volatility model, namely Diagonal BEKK. The daily data used are from 1998/12/23 to 2016/4/22. The data set is analyzed in its entirety, and also subdivided into three subset time periods. The empirical results show there is a significant relationship between the Financial ETF and Energy ETF in the spot and futures markets. Therefore, financial and energy ETFs are suitable for constructing a financial portfolio from an optimal risk management perspective, and also for dynamic hedging purposes.
publishDate 2016
dc.date.none.fl_str_mv 2016
2016-01-01
2016
2016-01-01
dc.type.none.fl_str_mv technical report
http://purl.org/coar/resource_type/c_18gh
dc.type.openaire.fl_str_mv info:eu-repo/semantics/report
format report
dc.identifier.none.fl_str_mv https://hdl.handle.net/20.500.14352/27579
url https://hdl.handle.net/20.500.14352/27579
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Facultad de Ciencias Económicas. Instituto Complutense de Análisis Económico (ICAE)
publisher.none.fl_str_mv Facultad de Ciencias Económicas. Instituto Complutense de Análisis Económico (ICAE)
dc.source.none.fl_str_mv reponame:Docta Complutense
instname:Universidad Complutense de Madrid (UCM)
instname_str Universidad Complutense de Madrid (UCM)
reponame_str Docta Complutense
collection Docta Complutense
repository.name.fl_str_mv
repository.mail.fl_str_mv
_version_ 1869423287994417152
score 15,198674

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