The Spillover and Leverage Effects of Rare Earth Element-Based Exchange-Traded Funds

• Main Authors: Ching-Yi Huang, 黃靜怡
• Other Authors: Jo-Hui Chen
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/ak6uw9

碩士 === 中原大學 === 企業管理研究所 === 101 === This research used the Generalized Autoregressive Conditional Heteroskedasticity-in-Mean-Autoregressive Moving Average (GARCH-M-ARMA) and the Exponentially Generalized Autoregressive Conditional Heteroskedasticity–in-Mean-Autoregressive Moving Average (EGARCHM- ARMA) models to study the spillover, asymmetric-volatility and leverage effects of the Rare Earth Element (Ree)-Based and the Non-Ree Exchange Traded Funds (ETFs). Four Ree and four Non-Ree ETFs with their underlying indices for the Nasdaq Composite Index, the Xetra Dax Index, the Hang Seng China-Affiliated Corp Index and the SSE A Share Index were selected for this study. The estimated results of spillover effect revealed that Ree and Non-Ree ETFs were difficult to have better return performances than underlying stock indexes during research period. The Non-Ree ETFs were better than the Ree ETFs. However, only the Nasdaq Composite Index and the Xetra Dax Index had positive return performance. Further, the results of spillover effect found that the Ree ETFs and the Non-Ree ETFs had significant positive or negative relationship against benchmark index returns and volatilities, respectively. Among, three of the ETFs were found to have a bilateral relationship between the stock index and ETFs returns; however, only two of the ETFs were found to exhibit a bilateral relationship between the stock indices and ETFs volatilities. Majority results of the lagged volatility for Ree and Non-Ree ETFs were unilaterally influence stock indices. The findings of EGARCH-M-ARMA model showed that the Ree and the Non-Ree ETFs with their underlying indices had negative asymmetric volatility effect. The result also revealed leverage effect between stock indices and ETFs. Furthermore, another significant results demonstrated that the returns (risks) gained in daily ETF or stock index could cause the rise (fall) of the other. There was majority of the evidence showing a unilateral and positive relationship between risks and returns in daily Ree and Non-Ree ETFs and stock indices.