Artículos de Revistas

URI permanente para esta colección

https://repositorio.uft.cl/handle/20.500.12254/2372

Examinar

Examinando Artículos de Revistas por Autor "Magner, Nicolás"

Mostrando 1 - 2 de 2
  • Miniatura
    Ítem
    Modeling synchronization risk among sustainable exchange trade funds: a statistical and network analysis approach
    (MDPI, 2022-10-01) Magner, Nicolás; Lavín, Jaime F.; Valle, Mauricio A.
    We evaluate the environment, society, and corporate governance rating (ESG rating) contribution from a new perspective; the highest ESG rating mitigates the impact of unexpected change in the implied volatility on the systemic stock market risk. For this purpose, we use exchange- traded funds (ETF) classified by their ESG rating into quartiles to estimate the synchronization as a proxy by systemic risk. Then, for each ETF quartile, we study the effect of the implied volatility over the synchronization. Our study is the first to model sustainable ETFs’ synchronization by combining econometric modeling and network methods, including 100 ETFs representing 80% of the global ETF market size between 2013 and 2021. First, we find that a higher ESG rating mitigates the effect of implied volatility over ETF synchronization. Surprisingly, the effect is the opposite in the case of ETFs with lower ESG ratings, where an increase in the volatility expectation increases the synchronization. Our study depicts the effect of sustainable ETFs on lessening the systemic risk due to returns synchronization, this being a novel contribution of this asset class. Finally, this paper offers extensions to deepen the contribution of other asset classes of ETFs in terms of their synchronization behavior and impact on risk management and financial performance.
  • Miniatura
    Ítem
    The predictive power of stock market’s expectations volatility: A financial synchronization phenomenon
    (Public Library of Science, 2021-05-20) Magner, Nicolás; Lavin, Jaime F.; Valle, Mauricio; Hardy, Nicolás
    We explore the use of implied volatility indices as a tool for estimate changes in the synchronization of stock markets. Specifically, we assess the implied stock market’s volatility indices’ predictive power on synchronizing global equity indices returns. We built the correlation network of 26 stock indices and implemented in-sample and out-of-sample tests to evaluate the predictive power of VIX, VSTOXX, and VXJ implied volatility indices. To measure markets’ synchronization, we use the Minimum Spanning Tree length and the length of the Planar Maximally Filtered Graph. Our results indicate a high predictive power of all the volatility indices, both individually and together, though the VIX predominates over the evaluated options. We find that an increase in the markets’ volatility expectations, captured by the implied volatility indices, is a good Granger predictor of an increase in the synchronization of returns in the following month. Estimating, monitoring, and predicting returns’ synchronization is essential for investment decision-making, especially for diversification strategies and regulating financial systems.