TITLE:
Measuring the Market Efficiency of Energy Exchange-Traded Funds (ETFS)
AUTHORS:
Kashif Saleem, Osama Al-Hares
KEYWORDS:
Energy Exchange-Traded Funds, Market Efficiency, FIGARCH, Temporal Dependencies, Long Memory
JOURNAL NAME:
Theoretical Economics Letters,
Vol.8 No.6,
April
24,
2018
ABSTRACT: This paper examines the market efficiency of Energy Exchange-Traded
Funds (ETFs) of both renewable and unrenewable energy ETFs. We adopt GARCH
modelling approach to investigate the long-range dependence in ETFs volatility.
Specifically, we estimate a FIGARCH model proposed by Baillie et al. (1996) using daily returns. We
find evidence of long memory dependence in all ETFs, implying that, all the
indexes under investigation are weak-form inefficient. The results also
indicate that the volatility has a predictable structure in all the ETFs of
both renewable and unrenewable energy ETFs, indicating the potential of
diversification for the international investors.