Research Article
Analysis of the Relationship Between ETF Volatility and Liquidity Based on ARMA-GARCH Model
@INPROCEEDINGS{10.4108/eai.6-1-2023.2330355, author={Qingyuan Feng}, title={Analysis of the Relationship Between ETF Volatility and Liquidity Based on ARMA-GARCH Model}, proceedings={Proceedings of the 2nd International Conference on Big Data Economy and Digital Management, BDEDM 2023, January 6-8, 2023, Changsha, China}, publisher={EAI}, proceedings_a={BDEDM}, year={2023}, month={6}, keywords={volatility etf arma-garch model}, doi={10.4108/eai.6-1-2023.2330355} }- Qingyuan Feng
Year: 2023
Analysis of the Relationship Between ETF Volatility and Liquidity Based on ARMA-GARCH Model
BDEDM
EAI
DOI: 10.4108/eai.6-1-2023.2330355
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 volatility of returns, and it also has a certain explanatory effect on the risk premium of ETFs. However, the explanatory power of liquidity is limited, and there are other factors that affect the volatility of ETFs' returns. Finally, some policy suggestions are given.
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