Results 231 to 240 of about 20,505 (285)
Some of the next articles are maybe not open access.
Which volatility model for option valuation in China? Empirical evidence from SSE 50 ETF options
Applied Economics, 2019In early 2015, China launched its first exchange-traded option, the Shanghai Stock Exchange (SSE) 50 ETF option, to meet the increasing demand for financial derivatives. In this article, we provide an intensive empirical investigation of popular discrete-
Zhuo Huang, Chen Tong, Tian-Yi Wang
semanticscholar +1 more source
Bank of Japan as a Contrarian Stock Investor: Large-Scale ETF Purchases
Social Science Research Network, 2020This study unveils the Bank of Japan’s behavior of purchasing exchange-traded funds (ETFs) on the Tokyo Stock Exchange. The Bank purchases ETFs after observing a significantly negative stock return over the previous night and during the morning market ...
Takahiro Hattori, J. Yoshida
semanticscholar +1 more source
Artificial Intelligence for ETF Market Prediction and Portfolio Optimization
International Conference on Advances in Social Networks Analysis and Mining, 2019In asset allocation and time-series forecasting studies, few have shed light on using the different machine learning and deep learning models to verify the difference in the result of investment returns and optimal asset allocation. To fill this research
Min-Yuh Day, Jian-Ting Lin
semanticscholar +1 more source
FEDS Notes, 2017
Exchange traded funds (ETFs) achieve their investment objectives by either owning a portfolio of securities (physical ETFs) or entering into swap agreements that deliver the returns of pre-specified indexes (synthetic ETFs). In this note, we provide an overview of how synthetic ETFs work and analyze collateralization levels for a group of synthetic ...
Sirio Aramonte +2 more
openaire +1 more source
Exchange traded funds (ETFs) achieve their investment objectives by either owning a portfolio of securities (physical ETFs) or entering into swap agreements that deliver the returns of pre-specified indexes (synthetic ETFs). In this note, we provide an overview of how synthetic ETFs work and analyze collateralization levels for a group of synthetic ...
Sirio Aramonte +2 more
openaire +1 more source
ETF Competition and Market Quality
Financial Management, 2018Our paper investigates competition between ETFs that hold nearly identical baskets of securities. We provide strong evidence that incumbent-fund market quality is negatively affected when a new fund is added to an asset class.
T. Box, Ryan Davis, Kathleen P. Fuller
semanticscholar +1 more source
The Costs of ETF Membership: Valuation Effect of ETFs on Underlying Firms
SSRN Electronic Journal, 2012In this paper, we investigate the effect of exchange traded funds (ETFs) on the value of their underlying stocks and the channels through which ETFs have an impact on firm value. We find that ETFs negatively affect firm value but also have a positive impact on underlying stocks’ systematic volatility, short interest, and liquidity. These effects of ETF
Kee-Hong Bae, Jin Wang, Jun-Koo Kang
openaire +1 more source
Passive Funds Actively Affect Prices: Evidence from the Largest ETF Markets
Social Science Research Network, 2019This paper studies the size and source of exchange-traded funds’ (ETFs) price impact in the most ETF-dominated asset classes: volatility (VIX) and commodities. To identify ETF-induced price distortions, I propose a model-independent approach to replicate
Karamfil Todorov
semanticscholar +1 more source
Investor behavior in ETF markets: a comparative study between the US and emerging markets
, 2019The purpose of this paper is to present the results of a study on investor behavior in exchange-traded fund (ETF) markets. The standard feedback trading model of Sentana and Wadhwani (1992) is used in a sample of 18 ETFs contracts in Brazil, China, South
A. F. da Costa +2 more
semanticscholar +1 more source
Critical Finance Review
Within the growing market for exchange-traded funds (ETFs), the authors identify many dominated ETFs with returns that are highly correlated with those of cheaper, more liquid competitors. Both retail and institutional investors overallocate to dominated funds with nonindex strategies. The authors estimate the aggregate excess fees paid by investors to
David C. Brown +2 more
openaire +1 more source
Within the growing market for exchange-traded funds (ETFs), the authors identify many dominated ETFs with returns that are highly correlated with those of cheaper, more liquid competitors. Both retail and institutional investors overallocate to dominated funds with nonindex strategies. The authors estimate the aggregate excess fees paid by investors to
David C. Brown +2 more
openaire +1 more source
Global Agricultural ETF, Energy ETF and Climate Risk
The Academic Society of Global Business AdministrationThis study analyzed the time-varying correlation and connectedness between agricultural and energy ETFs and climate risk (physical risk, transition risk) indices traded on the U.S. stock market from January 3, 2012 to June 30, 2025. The results of empirical analysis during the sample period are as follows.
openaire +1 more source