衡量美国股权性别多样性指数的持续性
Juan Infante1, Marta Del Rio1, Luis A Gil-Alana2,3
1University Villanueva, 28034 Madrid, Spain.
Social indicators research
|June 12, 2023
概括
SPDR SSGA性别多样性指数ETF表现出高度的持久性. 随着COVID-19大流行,这种持久性显著增加,改变了其整合顺序.
科学领域:
- 量化金融 量化金融
- 金融计量经济学 金融计量经济学
背景情况:
- SPDR SSGA性别多样性指数ETF追踪了致力于性别多样性的公司.
- 了解金融时间序列的长期记忆和持久性对于风险管理和投资策略至关重要.
研究的目的:
- 分析SPDR SSGA性别多样性指数ETF使用分数整合技术的持久性.
- 调查COVID-19大流行对ETF持久性的影响.
主要方法:
- 分数积分 (I(d)) 技术的应用.
- 在子样本中对整合顺序 (d) 的递归估计.
- 从2016年3月8日到2021年1月8日的每日数据分析.
主要成果:
- 该ETF系列表现出很高的持久性,其整合顺序接近1.
- 递归分析显示了整合顺序中的两个峰值.
- 2020年2月左右观察到持续性的显著转变,与Covid-19流行病的开始相吻合,移动值高于I(1).
结论:
- 随着COVID-19的流行,SPDR SSGA性别多样性指数ETF的持久性明显增加了.
- 调查结果强调宏观经济事件对股票指数ETF的长期记忆属性的深刻影响.
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