THE SPILLOVER, RISK AND LEVERAGE EFFECTS OF SMART BETA MANAGEMENT EXCHANGE-TRADED FUND (ETF)

2022 ◽  
Author(s):  
JO-HUI CHEN ◽  
NICHOLAS EDWARDS
Keyword(s):  
Garch Models ◽  
Leverage Effect ◽  
Exchange Traded Funds ◽  
The Past ◽  
Significant Relationships ◽  
Exchange Traded Fund ◽  
Asset Managers ◽  
Positive Effect ◽  
Smart Beta

This research uses two different GARCH models to measure spillover, risk, and leverage effects of active, passive, and smart beta management Exchange-traded Funds (ETFs). The increase in popularity of ETFs and new categories within them, specifically the growth of smart beta management, means asset managers and investors have new metrics to account for when determining portfolio exposure following the Adaptive Investment Approach (AIA). The results show significant relationships among all groups regarding the spillover. A trend of positive multi-lateral spillover of returns among the three management types including passive, active and small beta is observed with smart beta showing the highest percentage of a bi-lateral positive effect. The strongest spillover of volatility effects is among the actively managed ETFs. The testing of risk results is insignificant, but the leverage effect results are consistent with the past studies showing the significant negative bi-lateral effect.

FAKTOR YANG MEMPENGARUHI BEHAVIOR INTENTION UNTUK PENGGUNAAN APLIKASI DOMPET DIGITAL MENGGUNAKAN MODEL UTAUT2

2020 ◽  
Vol 25 (2) ◽  
pp. 111-122
Author(s):  
Aries Andrianto
Keyword(s):  
Sem Analysis ◽  
Electronic Money ◽  
Analysis Techniques ◽  
Behavior Intention ◽  
The Past ◽  
Performance Expectancy ◽  
Effort Expectancy ◽  
Facilitating Conditions ◽  
Positive Effect ◽  
Digital Wallet

Based on Bank Indonesia data, electronic money transactions have grown rapidly in the past 10 years. Throughout 2018, the volume of electronic money transactions was 2.92 billion transactions, growing 16,600 times compared to 2009.This study aims to analyze the factors that influence interest in using the LinkAja digital wallet using the UTAUT 2 method. The object of this study is the LinkAja digital wallet user who is domiciled in Jakarta. The independent variables examined in this study were Performance Expectancy, Effort Expectancy, Social Influence, Facilitating Conditions, Hedonic Motivation, and Habit on Behavior Intention using PLS-SEM analysis techniques. The results of this study indicate that Price Value has a positive effect on Behavior Intention.

Commodity Exchange-Traded Funds

2018 ◽  
Author(s):  
Christopher Milliken
Keyword(s):  
Portfolio Diversification ◽  
Futures Contracts ◽  
Spot Price ◽  
Exchange Traded Funds ◽  
Investment Strategies ◽  
Regulatory Structure ◽  
Commodity Exchange ◽  
Asset Class ◽  
Exchange Traded Fund

Commodity exchange-traded funds (ETCs), which debuted in 2004, enable investors to access an asset class previously difficult or expensive to access. Although a small segment of the overall exchange-traded fund (ETF) universe, ETCs have grown in popularity with both speculators and investors looking for long-term portfolio diversification. Examples of the types of commodities that are now accessible through ETCs include gold, oil, and agricultural. The literature on ETCs is limited, but academic and industry work has centered on using futures contracts to replicate the performance of the underlying commodities spot price as well as the effect additional capital has had on the integrity of the futures market. This chapter covers this topic by reviewing the growth, investment strategies, and regulatory structure of ETCs as well as the underlying effects these funds have had on the underlying markets with which they engage.

scholarly journals Behavior and Energy Losses of Cows during the Period of Low Temperatures

2021 ◽  
Vol 24 (5) ◽  
pp. 46-53
Author(s):  
Oleksandr O. Borshch ◽  
Oleksandr V. Borshch ◽  
Yurii Mashkin ◽  
Vasyl Malina ◽  
Maxim Fedorchenko
Keyword(s):  
Low Temperatures ◽  
Heat Insulation ◽  
Energy Losses ◽  
Strong Wind ◽  
The Past ◽  
Air Temperatures ◽  
The Difference ◽  
And Behavior ◽  
Positive Effect ◽  
Moderate Climate

Over the past 20 years, dairy farms in Ukraine have been actively introducing the keeping of cows in easy-to-assemble premises. However, in a moderate climate (with four distinct year seasons), the issues of microclimate, energy losses of animals and their behavior during the cold period of the year for keeping in such premises have not been fully studied. The purpose of this work was to study the influence of the heat insulation elements use of side curtains in easy-to-assemble premises during the period of low temperatures on microclimate, energy outgoings for thermoregulation and behavior of cows. The research conducted in the central part of Ukraine (Kyiv region). The research was conducted during January-February (29-43 days of the year) 2021. This period characterized by low average daily temperatures of -12.2– -18.7°С, strong wind gusts and daily precipitation in the form of snow. Two easy-toassemble premises for 400 heads were used for research. Parameters of placements (LxWxH): 150х32х10.5 m. The first one was without the use of curtains heat insulation elements, and the second one was with these elements of heat insulation. It was found that the use of polycarbonate wall heat insulation elements had a positive effect on the microclimate in the placement during the period of low temperatures. Indicators of average daily air temperatures in the placement were 3.2 and 8.8°C higher compared to the temperature in the same premise without the use of heat insulation elements and the environment. The wind speed also differed by 0.18 and 11.04 m/s, respectively. In addition, the heat insulation of the walls affected the temperature under the lying cow (+1.8°C), energy outgoings for thermoregulation (-1.93 MJ) and the number of cows that lay in the period of the lowest temperatures (+3.23-9.83%) compared to the placement without heat insulation elements. The difference in temperature of rubber carpet in the compared premises was significant: +3.3°C in the premises with heat insulation elements compared to the premises without heat insulation

scholarly journals Is It Helpful to Believe That Efforts Will Lead to Positive Outcomes? Two Cross-Lagged Panel Investigations among Adolescents and Young Adults

2020 ◽  
Vol 17 (20) ◽  
pp. 7585
Author(s):  
Jacky C. K. Ng ◽  
Vince W. T. Cheung ◽  
Helen S. M. Wong ◽  
Sherry M. Y. Leung ◽  
Victor C. Y. Lau
Keyword(s):  
Life Satisfaction ◽  
Young Adults ◽  
Self Esteem ◽  
Adolescents And Young Adults ◽  
Time Lags ◽  
Positive Outcomes ◽  
The Past ◽  
Multiplicative Effect ◽  
Positive Effect

Over the past few decades, the role of self-views in life satisfaction has been extensively investigated. Recently, growing attention has been directed to the question of whether an optimistic worldview, termed “reward for application”, helps boost life satisfaction. Conceptually, the association between reward for application and life satisfaction can be paradoxical. Due to various methodological and theoretical shortfalls, previous investigations were unable to draw a robust conclusion on this association. To address these shortfalls, two cross-lagged panel studies were conducted with different time lags. Over and above the potential confounds of self-views (namely, self-esteem and self-rated personality traits), reward for application had a positive effect on lagged life satisfaction among both adolescents and young adults, while the reverse effect was not found. Moreover, we found support for the multiplicative effect between worldviews and self-views, in which the positive effect of reward for application on life satisfaction was attenuated by high self-esteem.

scholarly journals Effect of Specific Over Nonspecific VR-Based Rehabilitation on Poststroke Motor Recovery: A Systematic Meta-analysis

2019 ◽  
Vol 33 (2) ◽  
pp. 112-129 ◽  
Author(s):  
Martina Maier ◽  
Belén Rubio Ballester ◽  
Armin Duff ◽  
Esther Duarte Oller ◽  
Paul F. M. J. Verschure
Keyword(s):  
Upper Limb ◽  
Stroke Rehabilitation ◽  
Meta Analysis ◽  
Stroke Patients ◽  
Randomized Controlled ◽  
The Past ◽  
Upper Limb Function ◽  
Activity Measures ◽  
Recovery Mechanisms ◽  
Positive Effect

Background. Despite the rise of virtual reality (VR)-based interventions in stroke rehabilitation over the past decade, no consensus has been reached on its efficacy. This ostensibly puzzling outcome might not be that surprising given that VR is intrinsically neutral to its use—that is, an intervention is effective because of its ability to mobilize recovery mechanisms, not its technology. As VR systems specifically built for rehabilitation might capitalize better on the advantages of technology to implement neuroscientifically grounded protocols, they might be more effective than those designed for recreational gaming. Objective. We evaluate the efficacy of specific VR (SVR) and nonspecific VR (NSVR) systems for rehabilitating upper-limb function and activity after stroke. Methods. We conducted a systematic search for randomized controlled trials with adult stroke patients to analyze the effect of SVR or NSVR systems versus conventional therapy (CT). Results. We identified 30 studies including 1473 patients. SVR showed a significant impact on body function (standardized mean difference [SMD] = 0.23; 95% CI = 0.10 to 0.36; P = .0007) versus CT, whereas NSVR did not (SMD = 0.16; 95% CI = −0.14 to 0.47; P = .30). This result was replicated in activity measures. Conclusions. Our results suggest that SVR systems are more beneficial than CT for upper-limb recovery, whereas NSVR systems are not. Additionally, we identified 6 principles of neurorehabilitation that are shared across SVR systems and are possibly responsible for their positive effect. These findings may disambiguate the contradictory results found in the current literature.

Detecting volatility persistence in GARCH models in the presence of the leverage effect

2012 ◽  
Vol 14 (12) ◽  
pp. 2205-2213 ◽  
Author(s):  
A. B. M. Rabiul Alam Beg ◽  
Sajid Anwar
Keyword(s):  
Garch Models ◽  
Leverage Effect ◽  
Volatility Persistence

scholarly journals Leverage Effect for Volatility with Generalized Laplace Error

2014 ◽  
Vol 29 (2) ◽  
Author(s):  
Farrukh Javed ◽  
Krzysztof Podgórski
Keyword(s):  
Good News ◽  
Leverage Effect ◽  
Economic Time Series ◽  
News Shocks ◽  
Fundamental Properties ◽  
The Past ◽  
Volatility Models ◽  
Asymmetric Power ◽  
Power Models ◽  
Economic Time

AbstractWe propose a new model that accounts for the asymmetric response of volatility to positive (`good news') and negative (`bad news') shocks in economic time series – the so-called leverage effect. In the past, asymmetric powers of errors in the conditionally heteroskedastic models have been used to capture this effect. Our model is using the gamma difference representation of the generalized Laplace distributions that efficiently models the asymmetry. It has one additional natural parameter, the shape, that is used instead of power in the asymmetric power models to capture the strength of a long-lasting effect of shocks. Some fundamental properties of the model are provided including the formula for covariances and an explicit form for the conditional distribution of `bad' and `good' news processes given the past – the property that is important for statistical fitting of the model. Relevant features of volatility models are illustrated using S&P 500 historical data.

China's Exchange Traded Fund: Is There a Trading Place Bias?

2008 ◽  
Vol 11 (01) ◽  
pp. 61-74 ◽  
Author(s):  
Louis T. W. Cheng ◽  
Hung-Gay Fung ◽  
Yiuman Tse
Keyword(s):  
Hong Kong ◽  
Exchange Traded Funds ◽  
Home Market ◽  
Intraday Analysis ◽  
Daily Data ◽  
The Us ◽  
Egarch Model ◽  
Causality Tests ◽  
Granger Causality Tests ◽  
Exchange Traded Fund

We use Granger causality tests and an EGARCH model to analyze the pricing relations in the US between two exchange traded funds, the iShares FTSE/Xinhua China 25 Index (FXI) and the S&P 500 Index Fund (IVV). Daily data indicates that Hong Kong home market basically drives the FXI returns in the US. In case of intraday analysis, the US-based IVV appears to dominate the pricing of the FXI. The evidence supports the speculative pricing hypothesis that the location of trading has stronger effects than the influence of domestic effects summarized by FXI's lagged returns.

scholarly journals Mulching in grape plantations

2006 ◽  
Vol 12 (4) ◽  
Author(s):  
L. Némethy ◽  
J. Májer ◽  
P. Varga ◽  
Cs. Németh ◽  
L. Fenyvesi ◽  
...  
Keyword(s):  
Soil Moisture ◽  
Soil Nutrients ◽  
Soil Structure ◽  
Point Of View ◽  
Plant Residue ◽  
Nutrient Distribution ◽  
The Past ◽  
Growing Seasons ◽  
Positive Effect

In continuous studies regarding the conservation of the advantageous condition of the soil structure, the highland plantations that are surrounded by living waters have major importance where the erosion of the soil, nutrients and chemicals endangers the quality of the water and the living world of the waters. At the same time the extreme weather and dry summers of the past years have made it important to look for soil cultivation solutions and technologies that are capable of decreasing the evaporation of the soil, for enhanced conservation of soil moisture and to improve the soil structure that is required for the growth of healthy roots. In our experiment we have studied soil mulching with organic plant residue, by sods and the effect of the mechanical cultivation on the soil and on the grape through two growing seasons. From the studied treatments, the mulching with organic plant wastage showed the most efficient results from the point of view of the nutrient distribution in the grape and yield. It also had a positive effect on the soil structure and humidity.

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