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A Closer Look At The Impact Of Quantitative Easing On The Capital Markets: Garch Analysis Of The Exchange Traded Funds Market, Nicholas R. Duafala Nov 2014

A Closer Look At The Impact Of Quantitative Easing On The Capital Markets: Garch Analysis Of The Exchange Traded Funds Market, Nicholas R. Duafala

Undergraduate Economic Review

This paper analyzes the effects of quantitative easing (QE) on the capital markets by modeling exchange traded funds (ETFs) returns using a generalized autoregressive conditional heteroskedasticity (GARCH) methodology. The results show that the 10-Year Treasury yields are significant in the returns of some sectors of the economy more so than others, and the Federal Funds Futures trading volume is significant in all ETFs return volatility. The implications of these results not only provide information about the reaction of the ETF market and QE, but also provide insight for developing investment strategies.


Tracking Errors Of Exchange Traded Funds And Index Funds, Rupendra Paliwal Apr 2014

Tracking Errors Of Exchange Traded Funds And Index Funds, Rupendra Paliwal

WCBT Working Papers

Exchange traded funds (ETF) are one of the recent financial innovations widely viewed as significantly better investments than mutual funds given their lower fee structure and tax efficiency. Individual investors are increasingly using ETFs tracking most popular stock indices to achieve their investment goals. In some cases, investors are using these ETFs to replace index mutual funds in their long-term portfolios. Thus, it is important to compare the performance of widely held ETFs and index funds in terms of their ability to consistently track the underlying index. Another interesting research question is whether tracking errors of these two investment vehicles …