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

conference contribution
posted on 2024-10-31, 18:55 authored by Malick Sy, Sundas Rawat, Lan Nguyen
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

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  1. 1.
    URL - Is published in http://www.kafo.or.kr/eng

Start page

1

End page

22

Total pages

22

Outlet

Proceedings of the 11th Annual Conference of the Asia-Pacific Association of Derivatives (APAD 2015)

Name of conference

APAD 2015

Publisher

Social Science Electronic Publishing, Inc. (SSEP)

Place published

Rochester, United States

Start date

2015-08-24

End date

2015-08-25

Language

English

Copyright

© 2015 SSEP, Inc. 2015 -- All rights reserved.

Former Identifier

2006056547

Esploro creation date

2020-06-22

Fedora creation date

2015-12-02

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    Scholarly Works

    Categories

    Keywords

    ETFGARCHRealized VolatilityVolatility Spillover

    Licence

    All rights reserved

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