Table 1 Variables description
From: Can ETFs affect U.S. financial stability? A quantile cointegration analysis
Variable | Description | Definition | Frequency | Source |
|---|---|---|---|---|
Dependent variables | ||||
SP500 Price | The Standard and Poor's 500 Index level | Ln(SP500)t | Quarterly | Compustat |
Volatility | CBOE's VIX | Ln(VIX)t | Quarterly | CBOE |
Independent variables | ||||
ETF Flow of Funds (FoF) | Net FoF to Equity ETFs as % of Nominal GDP | Δ(ETF FoF/Nominal GDP)t | Quarterly | BoG of the U.S. Federal Reserve System |
Control variables | ||||
EPS | Earnings Per Share (TTM) | Ln(EPS)t | Quarterly | Compustat |
DPS | Dividend Per Share (TTM) | Ln(DPS)t | Quarterly | Compustat |
Leverage | Debt-to-Equity Ratio | Ln(Total Liabilities/Total Equity)t | Annual | Compustat |
Fed Rate | U.S. Fed Effective Rate (Annual Mean) | (FED Rate)t | Quarterly | BoG of the U.S. Federal Reserve System |