Abstract
This paper estimates the smooth transition autoregressive model with exogenous variables to evaluate the effects of stock market returns on the exchange-traded funds’ (ETFs) returns in China with reserve requirement ratio (RRR) from monetary policy as a transition variable. The sample used in this study lasts from March 4, 2005 to June 30, 2017. The empirical result points out that there is the effect of RRR value on the relationship between stock market returns and ETF return. Moreover, these effects are variable depending on the conversion and its changes over time in different variations of threshold intervals. Lastly, the larger the change of China’s stock market variables’ lag period, the smaller the impacts on Chinese ETF return.
Sign-in/Register to access full text options 
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
