Spillover and leverage effect in Smart Beta Exchange Traded Funds: Evidence from India

IF 1.5 Q3 MANAGEMENT Decision Pub Date : 2024-03-23 DOI:10.1007/s40622-024-00376-1

C. Vijaya, M. Thenmozhi

引用次数: 0

Abstract

This study is unique in examining the spillover and leverage effect of Smart Beta Exchange Traded Funds (SB ETFs) and their underlying indices and Cap-Weighted (CW) indices. We find unidirectional return spillover from most SB ETFs to CW indices and bidirectional return spillover between SB ETFs and SB indices using VAR/VECM model. Besides, we find that information is transmitted faster from SB ETFs to the indices than from indices to SB ETFs. Interestingly, we observe that innovations in SB ETFs explain 97% of variance in SB indices and 81% of variance in CW indices. Hasbrouck’s information share of SB ETFs is highest (88%) followed by CW indices (5.6%). ARIMA-GARCH model shows that bidirectional volatility spillover exists between SB ETFs and the indices. ARIMA-EGARCH model provides evidence of leverage effect in SB ETFs, highlighting that volatility increases more after negative shocks than after positive shocks. Our study provides evidence of greater information transmission from SB ETFs to SB indices and to CW indices.

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Smart Beta 交易所交易基金的溢出效应和杠杆效应：来自印度的证据

本研究在研究 Smart Beta 交易所交易基金（SB ETF）及其相关指数和市值加权（CW）指数的溢出效应和杠杆效应方面独树一帜。利用 VAR/VECM 模型，我们发现从大多数 SB ETF 到 CW 指数之间存在单向收益溢出效应，而 SB ETF 和 SB 指数之间存在双向收益溢出效应。此外，我们还发现，信息从SB ETF向指数传递的速度快于从指数向SB ETF传递的速度。有趣的是，我们观察到 SB ETF 的创新解释了 SB 指数 97% 的方差，解释了 CW 指数 81% 的方差。SB ETF 的哈斯布劳克信息份额最高（88%），其次是 CW 指数（5.6%）。ARIMA-GARCH 模型显示，SB ETF 与指数之间存在双向波动溢出。ARIMA-EGARCH 模型提供了 SB ETF 杠杆效应的证据，突出显示了负向冲击后波动率的上升幅度大于正向冲击后的上升幅度。我们的研究提供了从 SB ETF 到 SB 指数以及到 CW 指数的更大信息传递的证据。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Decision MANAGEMENT-

CiteScore

2.30

自引率

0.00%

发文量

期刊介绍： The aim of the Journal, Decision, is to publish qualitative, quantitative, survey-based, simulation-based research articles at the national and sub-national levels. While there is no stated regional focus of the journal, we are more interested in examining if and how individuals, firms and governments in emerging economies may make decisions differently. Published for the management scholars, business executives and managers, the Journal aims to advance the management research by publishing empirically and theoretically grounded articles in management decision making process. The Editors aim to provide an efficient and high-quality review process to the authors. The Journal accepts submissions in several formats such as original research papers, case studies, review articles and book reviews (book reviews are only by invitation). The Journal welcomes research-based, original and insightful articles on organizational, individual, socio-economic-political, environmental decision making with relevance to theory and practice of business. It also focusses on the managerial decision-making challenges in private, public, private-public partnership and non-profit organizations. The Journal also encourages case studies that provide a rich description of the business or societal contexts in managerial decision-making process including areas – but not limited to – conflict over natural resources, product innovation and copyright laws, legislative or policy change, socio-technical embedding of financial markets, particularly in developing economy, an ethnographic understanding of relations at a workplace, or social network in marketing management, etc. Research topics covered in the Journal include (but not limited to): Finance and Accounting Organizational Theory and Behavior Decision Science Public Policy-Economic Insights Operation Management Innovation and Entrepreneurship Information Technology and Systems Management Optimization and Modelling Supply Chain Management Data Analytics Marketing Management Human Resource Management