Exchange-traded funds
I Ben-David, F Franzoni… - Annual Review of …, 2017 - annualreviews.org
Over nearly a quarter of a century, exchange-traded funds (ETFs) have become one of the
most popular passive investment vehicles among retail and professional investors because …
most popular passive investment vehicles among retail and professional investors because …
ETF activity and informational efficiency of underlying securities
This paper investigates the effect of exchange-traded funds'(ETFs') activity on the short-run
informational efficiency of their underlying securities. We find that ETF activity increases …
informational efficiency of their underlying securities. We find that ETF activity increases …
[HTML][HTML] Reshaping financial systems: The role of ICT in the diffusion of financial innovations–Recent evidence from European countries
Exchange-traded funds (ETFs) are among the fastest-growing types of innovative financial
products. The emergence and spread of these instruments have been facilitated by the …
products. The emergence and spread of these instruments have been facilitated by the …
Price discovery in the S&P 500 index derivatives markets
WP Chen, H Chung, D Lien - International Review of Economics & Finance, 2016 - Elsevier
This study sets out to examine the dynamics of price discovery between the S&P 500 index
and its derivative products: the index futures, the index options, the S&P 500 exchange …
and its derivative products: the index futures, the index options, the S&P 500 exchange …
Do exchange‐traded fund flows increase the volatility of the underlying index? Evidence from the emerging market in China
H Wang, L Xu - Accounting & Finance, 2019 - Wiley Online Library
Studying 70 Chinese equity exchange‐traded funds (ETF s), we show that daily ETF flows
significantly increase both the total volatility and the fundamental volatility of the underlying …
significantly increase both the total volatility and the fundamental volatility of the underlying …
The European ETF market: Growth, trends, and impact on underlying instruments
V Le Sourd, S Safaee - The Journal of Portfolio Management, 2021 - jpm.pm-research.com
This article presents some key figures about the European market for exchange-traded
funds (ETFs), with a focus on growth, key trends, and impact on underlying instruments. One …
funds (ETFs), with a focus on growth, key trends, and impact on underlying instruments. One …
[HTML][HTML] Application of diffusion models in the analysis of financial markets: Evidence on exchange traded funds in Europe
Exchange traded funds (ETFs) are financial innovations that may be considered as a part of
the index financial instruments category, together with stock index derivatives. The aim of …
the index financial instruments category, together with stock index derivatives. The aim of …
Differently motivated exchange traded fund trading activities and the volatility of the underlying index
L Xu, X Yin, J Zhao - Accounting & Finance, 2019 - Wiley Online Library
This paper examines the correlations between two types of a market index's volatility and
three trading motives of the index's exchange traded funds (ETFs). We find that ETF trading …
three trading motives of the index's exchange traded funds (ETFs). We find that ETF trading …
The sidedness and informativeness of ETF trading and the market efficiency of their underlying indexes
L Xu, X Yin, J Zhao - Pacific-Basin Finance Journal, 2019 - Elsevier
This paper examines some well-known indexes of the US equity markets and their
Exchange-Traded Funds (ETFs). It demonstrates that both one-sided and two-sided ETF …
Exchange-Traded Funds (ETFs). It demonstrates that both one-sided and two-sided ETF …
[HTML][HTML] How precisely European equity ETFs mirror their flagship benchmarks? Evidence from funds replicating performance of Euro Stoxx 50 Index
E Feder-Sempach, T Miziołek - Journal of Asset Management, 2023 - Springer
The main goal of the article is to examine the tracking efficiency of a homogenous sample of
14 ETFs listed on European exchanges, replicating the performance of Euro Stoxx 50 Index …
14 ETFs listed on European exchanges, replicating the performance of Euro Stoxx 50 Index …