.... Design/methodology/approach With high-frequency 5-min overlapping price data, the authors employ the Johansen cointegration test to investigate long-run relationships, the Granger causality test to assess short-run dynamics and the BEKK-GARCH model for volatility spillover investigation. Findings...

... volatility wherein a negative news has more influence on volatility compared to a positive news. Finally, unlike unidirectional return spillover, there is a bidirectional volatility spillover between ETF and benchmark index return. Practical implications The study has several practical implications...

...) vector of constants; A and B are (9×9) matrices for the ARCH and GARCH effects and (Equation 4) . Note that the non-diagonal forms of the matrices A and B allow volatility spillovers across the series. Following Engle (2002) , we allow conditional correlations...