PT  - JOURNAL ARTICLE
AU  - Richard J. Curcio
AU  - Randy I. Anderson
AU  - Hany Guirguis
TI  - Stock Price Volatility of Banks and Other Financials<br/>Emanating from the Inception of<br/>Leveraged, Inverse, and Traditional ETFs
AID  - 10.3905/jii.2014.5.1.012
DP  - 2014 May 31
TA  - The Journal of Index Investing
PG  - 12--31
VI  - 5
IP  - 1
4099  - https://pm-research.com/content/5/1/12.short
4100  - https://pm-research.com/content/5/1/12.full
AB  - Changes in stock price volatility of banks and other financials resulting from the inception of the first-ever, leveraged, inverse and traditional, purely financial exchange-traded funds (ETFs) are investigated. Financials have become much more accessible to investors through these creative and increasingly popular ETF securities. Results from using a constant-variance, first-order, Markov regime-switching model show a significant increase in the volatility of banks and other financials following the introduction of XLF, the traditional ETF representing the Financial Select Sector SPDR, and the leveraged (long and inverse) ETFs, UYG and SKF, benchmarked to the Dow Jones U.S. Financials Index. Volatility emanating from the inception of the leveraged ETFs was several orders of magnitude greater than that of the traditional ETF. Banking and large-cap financials were most prominently affected by the XLF. All sectors and size categories of financial firms were significantly impacted by UYG and SKF, the leveraged ETFs.TOPICS: Exchange-traded funds and applications, fundamental equity analysis, volatility measures