ETF连通性及其应用：来自RCEP成员国的证据

IF 2.9 3区经济学 Q2 BUSINESS, FINANCE

Journal of Multinational Financial Management Pub Date : 2025-05-15 DOI:10.1016/j.mulfin.2025.100908

Zhenyang Li , Yuanying Jiang

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引用次数: 0

摘要

本研究考察了区域全面经济伙伴关系（RCEP）成员国之间的市场联系，重点关注交易所交易基金（etf）作为跨市场投资工具。利用2011年3月31日至2024年10月1日的ETF日数据，运用GJR-BEKK-GARCH模型和时变频率连通性方法，从时频和收益-波动两个角度分析了RCEP成员国ETF的连通性。结果显示，etf的收益和波动率存在显著的异质性，连通性表现出明显的时变模式。在经济事件期间，风险传导机制各不相同，RCEP市场对全球冲击表现出高度敏感性。对收益与波动关联度的动态分析揭示了市场在不同阶段的联动关系。组合优化进一步表明，多资产ETF组合在不同策略下表现出不同的风险分散效果，为全球化市场下的资产配置和风险管理提供了有价值的见解。

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ETF connectedness and its applications: Evidence from RCEP member countries

This study investigates market linkages among the member countries of the Regional Comprehensive Economic Partnership (RCEP), focusing on Exchange-Traded Funds (ETFs) as a cross-market investment tool. Using daily ETF data from March 31, 2011, to October 1, 2024, we apply the GJR-BEKK-GARCH model and the time-varying frequency connectedness method to analyze ETF connectedness among RCEP member countries from both time-frequency and return-volatility perspectives. The results reveal significant heterogeneity in ETFs' returns and volatilities, with connectedness showing clear time-varying patterns. During economic events, risk transmission mechanisms vary, with RCEP markets showing heightened sensitivity to global shocks. Dynamic analysis of return and volatility connectedness uncovers market linkage relationships at different stages. Portfolio optimization further suggests that multi-asset ETF portfolios exhibit varying risk diversification effects under different strategies, providing valuable insights for asset allocation and risk management in a globalized market.

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来源期刊

Journal of Multinational Financial Management BUSINESS, FINANCE-

CiteScore

7.30

自引率

4.80%

发文量

审稿时长

30 days

期刊介绍： International trade, financing and investments have grown at an extremely rapid pace in recent years, and the operations of corporations have become increasingly multinationalized. Corporate executives buying and selling goods and services, and making financing and investment decisions across national boundaries, have developed policies and procedures for managing cash flows denominated in foreign currencies. These policies and procedures, and the related managerial actions of executives, change as new relevant information becomes available. The purpose of the Journal of Multinational Financial Management is to publish rigorous, original articles dealing with the management of the multinational enterprise. Theoretical, conceptual, and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • Foreign exchange risk management • International capital budgeting • Forecasting exchange rates • Foreign direct investment • Hedging strategies • Cost of capital • Managing transaction exposure • Political risk assessment • International working capital management • International financial planning • International tax management • International diversification • Transfer pricing strategies • International liability management • International mergers.