Examination of Leverage effect among India and Global GOLD Exchange Traded Funds
Abstract:ETFs are exchange-traded funds, which are an increasingly popular investment vehicle that builds a diversified portfolio of investment assets. We empirically analyze the volatility and return spillovers between exchange-traded funds (ETF) and the corresponding Indian benchmark indices. Data were collected between January 2014 and March 2023. The results were obtained by using the EGARCH model. This analysis provides valuable information for investors interested in investing in ETFs as it can help them make inf… Show more
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