Volatility spillovers between ETFs and their constituent stocks: Empirical study for Vietnam, Indonesia, and the Philippines

Sy, M, Rawat, S and Nguyen, L 2015, 'Volatility spillovers between ETFs and their constituent stocks: Empirical study for Vietnam, Indonesia, and the Philippines', in Proceedings of the 11th Annual Conference of the Asia-Pacific Association of Derivatives (APAD 2015), Busan, Korea, 24-25 August 2015, pp. 1-22.


Document type: Conference Paper
Collection: Conference Papers

Title Volatility spillovers between ETFs and their constituent stocks: Empirical study for Vietnam, Indonesia, and the Philippines
Author(s) Sy, M
Rawat, S
Nguyen, L
Year 2015
Conference name APAD 2015
Conference location Busan, Korea
Conference dates 24-25 August 2015
Proceedings title Proceedings of the 11th Annual Conference of the Asia-Pacific Association of Derivatives (APAD 2015)
Publisher Social Science Electronic Publishing, Inc. (SSEP)
Place of publication Rochester, United States
Start page 1
End page 22
Total pages 22
Abstract This study examines the volatility spillovers of three exchange traded funds (ETFs) from Vietnam, Philippines and Indonesia on their respective 10 largest component stocks due to the introduction of the ETF trading in these countries. To measure v
Subjects Investment and Risk Management
Keyword(s) ETF
Volatility Spillover
Realized Volatility
GARCH
Copyright notice © 2015 SSEP, Inc. 2015 -- All rights reserved.
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