Finanse, Rynki Finansowe, Ubezpieczenia

Previously: Zeszyty Naukowe Uniwersytetu Szczecińskiego. Finanse, Rynki Finansowe, Ubezpieczenia

ISSN: 2450-7741     eISSN: 2300-4460    OAI    DOI: 10.18276/frfu.2017.86-26
CC BY-SA   Open Access 

Issue archive / 2/2017 (86)
Badanie zależności pomiędzy funduszami ETF na rynku surowców energetycznych

Authors: Blanka Łęt
Uniwersytet Ekonomiczny w Poznaniu
Keywords: Exchange Traded Fund crude oil natural gas DCC-GARCH model
Year of publication:2017
Page range:12 (313-324)
Cited-by (Crossref) ?:


Purpose – The goal of the paper is to examine the dependencies between the financial instruments related to crude oil and natural gas markets. In this study, we also verify whether the listings of examined ETFs have the same dynamics and properties as original benchmarks and whether the detected linkages are constant over time. Methodology – We apply multivariate corrected Dynamic Conditional Correlation (cDCC) model by Aielli (2013), which is a modified version of Engle’s (2002) DCC-GARCH model. Findings – Among the examined assets the most correlated are funds that replicate indices of companies that primarily develop and produce crude oil and natural gas. Additionally, there are strong linkages between them and the fund that track the crude oil West Texas Intermediate futures price. Value – We analyse the dependencies on the oil and gas market using the most liquid exchange traded funds. The added value of this article is that it compares the properties and linkages of ETFs and related indices.
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