Work

Analysis of the Relationship Between ETF Volatility and Liquidity Based on ARMA-GARCH Model

Year: 2023

Type: conference-paper

Abstract: Based on ARMA-GARCH model, this paper takes Amihud's non liquidity ratio as an indicator to measure ETF liquidity, and makes an empirical analysis on the impact of ETF liquidity on return volatility in China. The analysis results show that the weak liquidity of ETFs has a positive impact on the vola

Source: International Conference on Big Data Economy and Digital Management (BDEDM)

DOI: 10.4108/eai.6-1-2023.2330355

Author: Qingyuan Feng

Institutions: Beijing Technology and Business University, Beijing University of Financial Technology

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: bronze

OpenAlex ID: W4382117544

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