Journal of Investment, Banking and Finance(JIBF)

Department, Actuarial Science, Institute of Actuaries of, India

Publications

• Research Article   
  Statistical Modelling of Global ETF Returns: Evidence from the Indian Financial Market
  Author(s): Prokarsha Kumar Ghosh*
  
  In modern economy, Exchange Traded Funds have emerged as one of the most important instruments for portfolio diversification and global market exposure, underlying the statistical behavior, interdependence, and predictive dynamics of ETF returns is considered essential for investors and financial researchers. In this study, the statistical structure and predictive relationships among selected international ETFs have been studied with the combination of statistical techniques, stochastic modelling, probability distribution fitting, and machine learning methods. This study consists of daily return observations for six ETFs representing major global markets, which are iShares MSCI India ETF, INDA, iShares MSCI United Kingdom ETF, EWU, iShares MSCI Japan ETF, EWJ, iShares MSCI Germany ETF, EWG, iShares MSCI China ETF, MCHI, and iShares USA. ETF, IYY during the tenure of 5 years. The behav.. Read More»
  

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