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Lo 'shock' Lehman Brothers: una tempesta dentro la tempesta? L'esperienza degli ETF LYXOR su Euro MTS

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  • M. Marzo
  • P. Zagaglia

Abstract

Questo studio considera l’evoluzione della relazione tra ETF su titoli di stato ed i relativi indici ‘benchmark’ durante il periodo di turbolenza dei mercati iniziato nel 2007. La nostra analisi si concentra sul cambiamento della trasmissione di volatilità in seguito al fallimento di Lehman Brothers. Usiamo dati sui prezzi giornalieri di tre ETF LYXOR su Euro MTS e dei rispettivi indici per stimare tre tipi di modelli di movimenti congiunti o ’contagio’ tra i mercati: a) modelli BEKK bivariati basati su Engle e Kroner (1995); b) il modello CAViAR di Engle e Manganelli (2004) che permette di applicare il test di Cappiello, Gerard e Manganelli (2005) per il cambiamento nei movimenti congiunti; c) modelli bivariati BEKK ‘strutturali’ riadattati da Rigobon (2003). I nostri risultati suggeriscono che l’evento Lehman non ha avuto implicazioni sulla trasmissione di volatilità tra gli ETF ed i rispettivi indici. Tuttavia l’attitudine alle reazioni estreme degli investori in entrambi questi segmenti è aumentata.

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Bibliographic Info

Paper provided by Dipartimento Scienze Economiche, Universita' di Bologna in its series Working Papers with number 703.

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Date of creation: May 2010
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Handle: RePEc:bol:bodewp:703

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