股权型交易所交易票据的溢出效应与杠杆效应

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2019-12-18 DOI:10.1142/s2194565919500131

Jo-Hui Chen, J. Diaz

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引用次数: 1

摘要

本研究利用自回归移动平均-一般自回归条件异方差(ARMA-GARCH)和自回归移动平均-指数一般自回归条件异方差(ARMA-EGARCH)分析了7种股票交易所买卖票据(etn)及其跟踪股票指数的收益和波动的溢出效应和杠杆效应。本研究发现两种投资工具之间的正收益传递。单边影响和双边关系也可能有助于投资者找到投资线索，以估计etn对股票指数的可能变动，反之亦然。本文还观察到负收益和波动性传输，这可能会警告交易者在其他工具的运动可能逆转。撤资、分配转移和反向投资策略是导致这种负相关关系的一些可能原因。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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

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.

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.