Exchange Traded Funds and Stock Market Volatility
Author:
Affiliation:
1. International Institute for Financial Studies; Jiangxi University of Finance and Economics; Nanchang China
2. Department of Economics and Finance; La Trobe University; Bundoora Victoria Australia
Publisher
Wiley
Subject
Economics and Econometrics,Finance
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/irfi.12121/fullpdf
Reference48 articles.
1. A Theory of Intraday Patterns: Volume and Price Variability;Admati;Review of Financial Studies,1988
2. Illiquidity and Stock Returns: Cross-section and Time-series Effects;Amihud;Journal of Financial Markets,2002
3. Asset Pricing Models and Financial Market Anomalies;Avramov;Review of Financial Studies,2006
4. Estimation of a Change Point in Multiple Regression Models;Bai;Review of Economics and Statistics,1997
5. Estimating and Testing Linear Models with Multiple Structural Changes;Bai;Econometrica,1998
Cited by 12 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. ETFs amidst the COVID-induced technological transformation: Sectoral insights from time-varying dynamics of tail risk transmissions;The North American Journal of Economics and Finance;2024-09
2. Do exchange-traded fund activities destabilize the stock market? Evidence from the China securities index 300 stocks;Economic Modelling;2023-10
3. A tick-by-tick level measurement of the lead-lag duration between cryptocurrencies: The case of Bitcoin versus Cardano;Investment Management and Financial Innovations;2023-02-21
4. Forecasting stock return volatility: The role of shrinkage approaches in a data‐rich environment;Journal of Forecasting;2022-01-12
5. Research on Mathematical Methods of Improving Fama and French Three-factor Model Based on ETF Factors;Journal of Physics: Conference Series;2021-04-01
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3