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  • 标题:Measuring the Market Efficiency of Energy Exchange-Traded Funds (ETFS)
  • 本地全文:下载
  • 作者:Kashif Saleem ; Osama Al-Hares
  • 期刊名称:Theoretical Economics Letters
  • 印刷版ISSN:2162-2078
  • 电子版ISSN:2162-2086
  • 出版年度:2018
  • 卷号:08
  • 期号:06
  • 页码:1247-1256
  • DOI:10.4236/tel.2018.86082
  • 语种:English
  • 出版社:Scientific Research Publishing
  • 摘要:This paper examines the market efficiency of Energy Exchange-Traded Funds (ETFs) of both renewable and unrenewable energy ETFs. We adopt GARCH modelling approach to investigate the long-range dependence in ETFs volatility. Specifically, we estimate a FIGARCH model proposed by Baillie et al. (1996) using daily returns. We find evidence of long memory dependence in all ETFs, implying that, all the indexes under investigation are weak-form inefficient. The results also indicate that the volatility has a predictable structure in all the ETFs of both renewable and unrenewable energy ETFs, indicating the potential of diversification for the international investors.
  • 关键词:Energy Exchange-Traded Funds;Market Efficiency;FIGARCH;Temporal Dependencies;Long Memory
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