Regime Dependent Sensitivity of Country Exchange Traded Funds to Common Risk Factors

IF 1.3 Q3 BUSINESS

Frontiers of Business Research in China Pub Date : 2016-09-27 DOI:10.3868/S070-005-016-0014-0

Jun Yuan, L. MacLean, Kuan Xu, Yonggan Zhao

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引用次数: 1

Abstract

If common factors jointly a ect country stock markets, it is an indication of the global stock market integration. Common factors may a ect some markets more/less than other markets, an indication of the degree of the global stock market integration/segmentation. In this paper, we study the intergration of global stock markets based on the returns on exchange traded funds (ETFs) for the U.S., Canada, U.K., Germany, France, Italy, Australia and Japan. The relationship between country ETF returns and common risk factors may be time-varying across countries, and that favors a regime switching (RS) factor model for the dynamics of the country ETF returns. A RS factor model for the relationship between country ETF returns and common risk factors is tted to daily data for period from May 31, 2000 to March 31, 2014. We use the data to test a hierarchy of hypotheses on country ETF returns: (1) common factor exposure across all country ETFs and all regimes; (2) common factor exposure across some country ETFs and all regimes, and (3) common factor exposure across some country ETFs and some regimes. The RS factor model for ETF returns ts the data well and the common factors have variable e ects across countries and over regimes. JEL Codes: C13, C32, G12

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国家交易所交易基金对常见风险因素的制度依赖敏感性

如果共同因素共同影响一个国家的股票市场，这是全球股票市场一体化的一个标志。共同因素对某些市场的影响可能大于或小于其他市场，这表明全球股票市场整合/分割的程度。本文以美国、加拿大、英国、德国、法国、意大利、澳大利亚和日本的交易所交易基金(etf)收益为基础，对全球股票市场整合进行了研究。国家ETF收益与共同风险因素之间的关系在不同国家可能是时变的，这有利于制度转换(RS)因素模型来描述国家ETF收益的动态。利用2000年5月31日至2014年3月31日的每日数据，建立了国家ETF收益与常见风险因素关系的RS因子模型。我们使用数据来检验关于国家ETF回报的假设层次:(1)所有国家ETF和所有制度的共同因素敞口;(2)一些国家etf和所有制度的共同因素敞口，以及(3)一些国家etf和一些制度的共同因素敞口。ETF收益的RS因子模型很好地反映了数据，共同因子在不同国家和制度下具有不同的影响。JEL代码:C13, C32, G12

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来源期刊

Frontiers of Business Research in China BUSINESS-

CiteScore

6.90

自引率

0.00%

发文量

317

审稿时长

5 weeks

期刊介绍： Frontiers of Business Research in China (FBR) is a double-blind refereed quarterly journal in business research. FBR offers a multidisciplinary forum for academics, practitioners, and policy makers that focuses on business administration, and encourages interdisciplinary studies and interactions between Chinese and international researchers. FBR publishes original academic and practical research articles that extend, test, or build management theories, as well as contributions to business administration practice, either in the Greater China region or beyond. The Journal also publishes related commentaries and case studies. FBR invites submissions of high-quality manuscripts in all areas of business administration, without limitations on research methods. Major areas of interest include, but are not limited to: Accounting, Finance, Human resources, International business, Marketing, Management information systems, Operations management, Organizational behavior, and Strategic management.