Volatility and return spillovers in Canadian and U.S. industry ETFs

Research output: Contribution to journalArticle

17 Citations (Scopus)

Abstract

Exchange-traded funds (ETFs) are now an important source of information dissemination in Canadian and U.S. equity markets, and we provide new evidence regarding price discovery and volatility spillovers in these securities. We find that price discovery flows consistently from the U.S. to Canada for these securities, while volatility spillovers are largely bi-directional. Information is impounded more rapidly into returns through trading in U.S securities, and the combination of negative U.S. return spillovers and asymmetric volatility creates bi-directional volatility feedback effects. The results are relevant to market participants and Canadian market regulators since Canadian circuit-breakers are tied to U.S. market conditions.

Original languageEnglish (US)
Pages (from-to)244-259
Number of pages16
JournalInternational Review of Economics and Finance
Volume25
DOIs
StatePublished - Jan 1 2013

Fingerprint

Spillover
Industry
Exchange traded funds
Volatility spillover
Price discovery
Dissemination
Canada
Market conditions
Sources of information
Feedback effect
Equity markets
Price volatility
Asymmetric volatility
Volatility feedback
Circuit breaker

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

Cite this

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Volatility and return spillovers in Canadian and U.S. industry ETFs. / Krause, Timothy Alan; Tse, Yiuman.

In: International Review of Economics and Finance, Vol. 25, 01.01.2013, p. 244-259.

Research output: Contribution to journalArticle

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