文章基本信息

标题：Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK
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作者：Chia-Lin Chang ; Tai-Lin Hsieh ; Michael McAleer 等
期刊名称：Journal of Risk and Financial Management
印刷版ISSN：1911-8074
出版年度：2018
卷号：11
期号：4
DOI：10.3390/jrfm11040058
语种：English
出版社：MDPI, Open Access Journal
摘要：As stock market indexes are not tradeable, the importance and trading volume of Exchange-Traded Funds (ETFs) cannot be understated. ETFs track and attempt to replicate the performance of a specific index. Numerous studies have demonstrated a relationship between the SP500 Composite Index and the Volatility Index (VIX), but few empirical studies have focused on the relationship between VIX and ETF returns. The purpose of the paper is to investigate whether VIX returns affect ETF returns by using vector autoregressive (VAR) models to determine whether daily VIX returns with different moving average processes affect ETF returns. The ARCH-LM test shows conditional heteroskedasticity in the estimation of ETF returns, so that the Diagonal BEKK (named after Baba, Engle, Kraft and Kroner) model is used to accommodate multivariate conditional heteroskedasticity in the VAR estimates of ETF returns. Daily data on ETF returns that follow different stock indexes in the USA and Europe are used in the empirical analysis, which is presented for the full data set, as well as for the three sub-periods Before, During, and After the Global Financial Crisis. The estimates show that daily VIX returns have: (1) significant negative effects on European ETF returns in the short run; (2) er significant effects on single-market ETF returns than on European ETF returns; and (3) lower impacts on the European ETF returns than on SP500 returns. For the European markets, the estimates of the mean equations tend to differ between the whole sample period and the sub-periods, but the estimates of the matrices A and B in the Diagonal BEKK model are quite similar for the whole sample period and at least two of the three sub-periods. For the US Markets, the estimates of the mean equations also tend to differ between the whole sample period and the sub-periods, but the estimates of the matrices A and B in the Diagonal BEKK model are very similar for the whole sample period and the three sub-periods.
关键词：stock market indexes; exchange-traded funds; volatility Index (VIX); global financial crisis; vector autoregressions; moving average processes; conditional heteroskedasticity; diagonal BEKK