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The spillover and leverage effects of ethical exchange traded fund

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  • Jo-Hui Chen

Abstract

Using the Exponentially Generalized AutoRegressive Conditional Heteroscedasticity-AutoRegressive Moving Average (EGARCH-ARMA) model, there are no differences in terms of the spillover of returns from volatilities and leverage effects between ethical and non-ethical Exchange Traded Funds (ETFs) against benchmark indexes after applying negative ethical screening on ETFs. The lagged ethical ETF returns unilaterally influence current stock index returns or the bilateral relationships between them. This article sheds new light on the selection process involved in ethical ETFs and may provide clues for fund managers as they reward investors who prefer ethical value investments.

Suggested Citation

  • Jo-Hui Chen, 2011. "The spillover and leverage effects of ethical exchange traded fund," Applied Economics Letters, Taylor & Francis Journals, vol. 18(10), pages 983-987.
    • Handle: RePEc:taf:apeclt:v:18:y:2011:i:10:p:983-987
    DOI: 10.1080/13504851.2010.520663
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    References listed on IDEAS

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    1. N. Kreander & R.H. Gray & D.M. Power & C.D. Sinclair, 2005. "Evaluating the Performance of Ethical and Non‐ethical Funds: A Matched Pair Analysis," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(7‐8), pages 1465-1493, September.
    2. J. -H. Chen & C. -Y. Huang, 2010. "An analysis of the spillover effects of exchange-traded funds," Applied Economics, Taylor & Francis Journals, vol. 42(9), pages 1155-1168.
    3. Ching-Chung Lin & Min-Hsien Chiang, 2005. "Volatility effect of ETFs on the constituents of the underlying Taiwan 50 Index," Applied Financial Economics, Taylor & Francis Journals, vol. 15(18), pages 1315-1322.
    4. Lucy F. Ackert & Yisong S. Tian, 2000. "Arbitrage and Valuation in the Market forStandard and Poor's Depository Receipts," Financial Management, Financial Management Association, vol. 29(3), Fall.
    5. N. Kreander & R.H. Gray & D.M. Power & C.D. Sinclair, 2005. "Evaluating the Performance of Ethical and Non-ethical Funds: A Matched Pair Analysis," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(7-8), pages 1465-1493.
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    Cited by:

    1. Chang, Chia-Lin & McAleer, Michael & Wang, Yanghuiting, 2018. "Testing Co-Volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances," Energy, Elsevier, vol. 151(C), pages 984-997.
    2. Gerasimos Rompotis, 2016. "Return and volatility of emerging markets leveraged ETFs," Journal of Asset Management, Palgrave Macmillan, vol. 17(3), pages 165-194, May.
    3. Chen Jo-Hui & Diaz John Francis T., 2021. "Application of grey relational analysis and artificial neural networks on currency exchange-traded notes (ETNs)," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(2), pages 1-17, April.
    4. Maya Malinda & Jo-Hui Chen, 2022. "The forecasting of consumer exchange-traded funds (ETFs) via grey relational analysis (GRA) and artificial neural network (ANN)," Empirical Economics, Springer, vol. 62(2), pages 779-823, February.

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