This research utilizes the Autoregressive Moving Average–General Autoregressive Conditional Heteroskedasticity (ARMA–GARCH) and Autoregressive Moving Average–Exponential General Autoregressive Conditional Heteroskedasticity (ARMA–EGARCH) in studying the spillover and leverage effects of returns and volatilities of seven equity exchange-traded notes (ETNs) and their tracked stock indices. This study finds positive returns transmissions between the two investment instruments. Unilateral influence and bilateral relationships also exist that may help investors in finding investment clues to approximate possible movements of ETNs about stock indices and vice versa. This paper also observes negative returns and volatility transmissions that may caution traders in the possible reversal of movement of the other instrument. Disinvestments, transfer of allocation, and inverse investing strategies are some of the possible reasons attributable to this negative relation.

中文翻译：

---

股票交易所交易票据 (ETNS) 的溢出效应和杠杆效应

本研究利用自回归移动平均线 - 一般自回归条件异方差 (ARMA-GARCH) 和自回归移动平均 - 指数一般自回归条件异方差 (ARMA-EGARCH) 研究七种股票交易所交易票据的回报和波动率的溢出和杠杆效应(ETN) 及其跟踪的股票指数。本研究发现两种投资工具之间的正回报传输。还存在单边影响和双边关系，这可能有助于投资者寻找投资线索，以估计 ETN 关于股票指数的可能变动，反之亦然。本文还观察到负回报和波动性传递，这可能会提醒交易者注意其他工具可能逆转的走势。撤资，