TY - JOUR
T1 - Energy ETF return jump contagion
T2 - a multivariate Hawkes process approach
AU - Yang, Steve Y.
AU - Liu, Yunfeng
AU - Yu, Yangyang
AU - Mo, Sheung Yin Kevin
N1 - Publisher Copyright:
© 2021 Informa UK Limited, trading as Taylor & Francis Group.
PY - 2022
Y1 - 2022
N2 - Compared with investing in individual stocks, ETF investment is capable of diversifying the non-systematic risk or exposure to broad market or industry sectors. The aim of this paper is to develop a jump contagion modeling framework to understand the contagion effect of market jump events of energy sector ETFs using multivariate Hawkes process modeling approach. Through analyzing intraday high-frequency market data, we find that negative index jumps lead index price discovery processes, and their influences disappear faster than the positive index jumps in both the S&P500 and the crude oil futures. And on average, the self contagion in negative jumps is stronger than the self contagion in the positive jumps across all ETF groups. However, the ETFs focused on the master limited partnership (MLP) segment show less negative self contagion and relatively stronger positive self contagion than the other energy ETFs. Overall, the influence of negative jumps on ETFs from both the equity index and the energy future index is stronger than that of the positive jumps. And the influence of the equity index (S&P500) jump on ETFs lasts longer than that of the crude oil futures index (CLC1).
AB - Compared with investing in individual stocks, ETF investment is capable of diversifying the non-systematic risk or exposure to broad market or industry sectors. The aim of this paper is to develop a jump contagion modeling framework to understand the contagion effect of market jump events of energy sector ETFs using multivariate Hawkes process modeling approach. Through analyzing intraday high-frequency market data, we find that negative index jumps lead index price discovery processes, and their influences disappear faster than the positive index jumps in both the S&P500 and the crude oil futures. And on average, the self contagion in negative jumps is stronger than the self contagion in the positive jumps across all ETF groups. However, the ETFs focused on the master limited partnership (MLP) segment show less negative self contagion and relatively stronger positive self contagion than the other energy ETFs. Overall, the influence of negative jumps on ETFs from both the equity index and the energy future index is stronger than that of the positive jumps. And the influence of the equity index (S&P500) jump on ETFs lasts longer than that of the crude oil futures index (CLC1).
KW - Energy finance
KW - crude oil futures
KW - energy ETFs
KW - multivariate Hawkes process
KW - price discovery
UR - http://www.scopus.com/inward/record.url?scp=85103186849&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=85103186849&partnerID=8YFLogxK
U2 - 10.1080/1351847X.2021.1903962
DO - 10.1080/1351847X.2021.1903962
M3 - Article
AN - SCOPUS:85103186849
SN - 1351-847X
VL - 28
SP - 761
EP - 783
JO - European Journal of Finance
JF - European Journal of Finance
IS - 7
ER -