scholarly journals Pricing efficiency, trading behavior, spillover effects and market integration

2016 ◽  
Author(s):  
Γεράσιμος Ρομποτής
Keyword(s):  
Market Integration ◽  
Spillover Effects ◽  
Exchange Traded Funds ◽  
Trading Behavior ◽  
Pricing Efficiency ◽  
Standard And Poor's

Δεδομένου του αυξημένου ενδιαφέροντος της διεθνούς επενδυτικής κοινότητας για τις αναδυόμενες οικονομίες κατά τα τελευταία χρόνια, η παρούσα διατριβή έχει ως στόχο να παράσχει αξιόπιστες εμπειρικές απαντήσεις σε βασικά ερωτήματα που τίθενται από επενδυτές οι οποίοι χρησιμοποιούν τα λεγόμενα Διαπραγματεύσιμα Αμοιβαία Κεφάλαια (Exchange Traded Funds-ETFs) για να αποκτήσουν πρόσβαση στις αγορές αυτές. Ένα από αυτά τα βασικά ερωτήματα αφορά στην αποτελεσματικότητα της αγοράς και στη δυνατότητα που ενδεχομένως υπάρχει για τους επενδυτές σε ETFs αναδυομένων αγορών να αποκομίσουν σημαντικές υπερβάλλουσες αποδόσεις από την αξιοποίηση οιασδήποτε αναποτελεσματικότητας στην τιμολόγηση αυτών των προϊόντων. Η εμπορική συμπεριφορά των ETFs ενδιαφέρει επίσης τους επενδυτές. Η δυνατότητα εφαρμογής επιτυχημένων στρατηγικών διαφοροποίησης ρίσκου είναι ένα άλλο ζήτημα ιδιαιτέρου ενδιαφέροντος για τους επενδυτές καθώς και ο βαθμός συσχέτισης των αναδυομένων με τις αναπτυγμένες κεφαλαιαγορές. Τέλος, οι επενδυτές που επιλέγουν ETFs νέου τύπου, όπως τα λεγόμενα ETFs μόχλευσης, προκειμένου να αποκτήσουν πρόσβαση στις αναδυόμενες αγορές, χρειάζονται πληροφόρηση σχετικώς με τα πλεονεκτήματα και τα μειονεκτήματα αυτών των προϊόντων καθώς και για τη συσχέτιση τους με τις αναπτυγμένες αγορές. Τα αποτελέσματα της παρούσης διατριβής προσφέρουν αξιόπιστες απαντήσεις στα παραπάνω βασικά ερωτήματα. Συγκεκριμένα, αποδεικνύεται ότι η υπό εξέταση αγορά ETFs είναι κατά βάση αποτελεσματική και άρα οι επενδυτές δεν έχουν δυνατότητα για σημαντικές αποδόσεις πέραν των μέσω αποδόσεων της αγοράς. Επιπλέον, η απόδοση των ETFs είναι ελαφρώς χαμηλότερη από αυτή των υποκείμενων δεικτών ενώ, πέραν από τον υποκείμενο δείκτη, μπορεί να επηρεάζεται και από παράγοντες της αμερικανικής κεφαλαιαγοράς όπως για παράδειγμα η απόδοση του δείκτη Standard and Poor’s 500. Περαιτέρω, αποδεικνύεται ότι η χρηματιστηριακή τιμή του μέσου ETF διαφέρει σημαντικά από την καθαρή εσωτερική του αξία. Ένας υψηλός βαθμός συσχέτισης μεταξύ των αναπτυγμένων και αναδυομένων αγορών ETFs αναδεικνύεται επίσης καθώς και σημαντικές επιδράσεις στην απόδοση και τον κίνδυνο από τα ETFs στους υποκείμενους δείκτες και αντιστρόφως. Τέλος, αναδεικνύεται ότι τα ETFs μόχλευσης μπορούν να επιτυγχάνουν τους επενδυτικούς τους στόχους. Η βασική συνεισφορά της διατριβής αυτής στη σχετική βιβλιογραφία αφορά στο γεγονός του ότι εξετάζεται μια αγορά υψηλού ενδιαφέροντος, όπως είναι αυτή των ETFs αναδυομένων αγορών, η οποία είναι υπό-μελετημένη. Η παροχή αξιόπιστων εμπειρικών αποτελεσμάτων είναι μια άλλη συνεισφορά της παρούσης μελέτης. Από μεθοδολογικής απόψεως, οι οικονομετρικές τεχνικές που εφαρμόστηκαν είναι αρκετά σύγχρονες και συνάδουν με την υπάρχουσα σχετική βιβλιογραφία. Τέλος, τα δείγματα που εξετάστηκαν είναι αρκετά αντιπροσωπευτικά της συνολικής αγοράς, καθώς καλύπτουν ένα σημαντικό εύρος των διαφόρων αναπτυσσόμενων οικονομιών, αλλά και η επιλογή τους είναι αρκετά πρωτοποριακή συγκριτικά με τις συνήθεις πρακτικές επιλογής δειγμάτων στη σχετική βιβλιογραφία.

scholarly journals Empirical Insights on the Trading Behavior of the UK Leveraged ETFs

2017 ◽  
Vol 1 (3) ◽  
Author(s):  
Gerasimos G. Rompotis
Keyword(s):  
Tracking Error ◽  
Small Sample ◽  
Market Volatility ◽  
Exchange Traded Funds ◽  
Trading Behavior ◽  
Pricing Efficiency ◽  
Market Factors ◽  
The Uk ◽  
The Impact ◽  
Leveraged Etfs

Objective. This paper focuses on UK leveraged Exchange Traded Funds (ETFs) and examines their ability to meet their daily targets, the impact of volatility on targets’ achievement, and their pricing efficiency.Methodology. Standard regression analysis is used to evaluate performance, tracking efficiency and persistence in tracking failures, and the relationship between tracking efficiency and market volatility. Moreover, the pricing efficiency is examined along with the persistence in premium and the influence of market factors on premium.Findings. Results reveal that ETFs achieve their targets but occasionally tracking error can be significant. Furthermore, increases in market volatility relate to higher and lower tracking errors for bull and bear ETFs respectively. Moreover, average premiums testify a sufficient fit between trading prices and net asset values whereas the premiums are eliminated sharply. Moreover, the pricing efficiency of bear ETFs is positively associated with benchmark returns. The opposite is the case for bull ETFs. Finally, the pricing deviations are positively related to benchmarks’ volatility.Limitations. A possible limitation is that our sample includes just nine bear and sixteen bull ETFs even though more than 90 leveraged ETFs are traded on the UK market and our results may not be indicative of the entire UK leveraged ETF market. However, we had to use a small sample of ETFs because the trading activity of the rest ETFs has been very poor and, consequently, our analysis could have been biased by a thin trading effect.             Originality/Value. This is the first study to examine the UK market of leveraged ETFs.

scholarly journals Volatility Spillovers Arising from the Financialization of Commodities

2018 ◽  
Vol 11 (4) ◽  
pp. 72 ◽  
Author(s):  
Wing Chan ◽  
Bryce Shelton ◽  
Yan Wu
Keyword(s):  
Commodity Prices ◽  
Spillover Effects ◽  
Realized Volatility ◽  
Commodity Markets ◽  
Exchange Traded Funds ◽  
Volatility Transmission ◽  
Volatility Spillovers ◽  
The Difference ◽  
Index Investment ◽  
The Impact

This paper examines whether the proliferation of new index products, such as commodity-tracking exchange-traded funds (ETFs), amplified the volatility transmission channel introduced by financialization. This paper focuses on the volatility spillover effects among crude oil, metals, agriculture, and non-energy commodity markets. The results show financialization has an impact on the volatility of commodity prices, predominantly for non-energy commodities. However, the impact on volatility is not symmetric across all commodities. The analysis of index investment and investors’ positions in futures markets shows that, when a relationship exists, it is generally negatively correlated with the realized volatility of non-energy commodities. Using realized volatility in the difference-in-difference model provides estimates that are inconsistent with other findings that non-energy commodities, traded as a part of indices, have experienced higher volatility. The results are similar to the index investment and futures market analysis, where increased participation by investors through new investment products has put download pressure on realized volatility.

scholarly journals An analysis of CEE equity market integration and their volatility spillover effects

2019 ◽  
Vol 29 (1) ◽  
pp. 23-40 ◽  
Author(s):  
Ngo Thai Hung
Keyword(s):  
Market Integration ◽  
Design Methodology ◽  
Spillover Effects ◽  
Equity Market ◽  
Multivariate Garch ◽  
The Czech Republic ◽  
Content Type ◽  
Volatility Spillovers ◽  
Conditional Correlations ◽  
Practical Implications

Purpose The purpose of this paper is to examine the conditional correlations and spillovers of volatilities across CEE markets, namely, Hungary, Poland, the Czech Republic, Romania and Croatia, in the post-2007 financial crisis period. Design/methodology/approach The authors use five-dimensional GARCH-BEKK alongside with the CCC and DCC models. Findings The estimation results of the three models generally demonstrate that the correlations between these markets are particularly significant. Also, own-volatility spillovers are generally lower than cross-volatility spillovers for all markets. Practical implications These results recommend that investors should take caution when investing in the CEE equity markets as well as diversifying their portfolios so as to minimize risk. Originality/value Unlike the previous studies in this field, this paper is the first study using multivariate GARCH-BEKK alongside with CCC and DCC models. The study makes an outstanding contribution to the existing literature on spillover effects and conditional correlations in the CEE financial stock markets.

An analysis of the spillover effects of exchange-traded funds

2010 ◽  
Vol 42 (9) ◽  
pp. 1155-1168 ◽  
Author(s):  
J.-H. Chen ◽  
C.-Y. Huang
Keyword(s):  
Spillover Effects ◽  
Exchange Traded Funds

The Internal Market of the European Union: From Indivisibility to Differentiated Integration

2020 ◽  
Author(s):  
Michelle Egan
Keyword(s):  
Regional Integration ◽  
Market Integration ◽  
Structural Changes ◽  
Spillover Effects ◽  
Internal Market ◽  
Single Market ◽  
The European Union ◽  
Theoretical Approaches ◽  
Trade Offs ◽  
Capital Services

The internal market is the workhorse of European integration, promoting the free movement of goods, capital, services, and factors of production to ease cross-border barriers. Research has focused on the evolution and expansion of market integration, drawing on a variety of empirical and theoretical approaches to understand the interests, institutions, and ideas that have shaped an “ever closer economic union.” Yet as the economy has changed from manufacturing to services, the internal market has shifted in scope to encompass a more heterogeneous set of issues where the core rules and legal commitments have generated increased differentiation in market practices and regulatory alignment. Scholarship on the single market has diminished, in part, due to the fragmentation of policy initiatives, often not attributed to the single market. As the European economy has undergone profound structural changes, the legislative agenda has expanded to new policy areas that reflect the need for modernization and expansion of the traditional single market agenda. Often touted as a model for regional integration, the single market is still a differentiated market, much more developed for goods than it is for services and labor. The result is a regulatory patchwork of selective liberalization where the scope and depth of integration vary across the four freedoms. Ironically, the integrity of the single market in the wake of Brexit has led the “four freedoms” of goods, services, capital, and people to be viewed as “indivisible” which does not reflect the reality of decades of market integration. More attention needs to be given to the incorporation of history and temporality into understanding the single market. On the one hand, the single market is viewed as a means of transferring regulatory norms to third-country markets which has led to a debate about the extent of European “market power” across different issues areas. Rooted in the size and institutional configurations of its internal market, European efforts to export rules to third-country markets also depends on domestic receptiveness and state capacity to accept such jurisdictional boundaries over markets. As the internal market has varying degrees of “depth” across treaty freedoms, its “spillover” effects may differ across goods and service markets. On the other hand, there has been a surge in single market differentiation within the European polity in terms of modes of governance. This reflects growing flexibility in terms of fundamental treaty requirements, the varied compliance and implementation across sectors and firms, and the differential effects of withdrawal from the single market across member states given the substantial consequences of Brexit. Across time and space, the detailed patterns governing the four freedoms and flanking policies of the internal market in Europe are not uniform with differentiation in institutional (legal and administrative) arrangements that have significant trade-offs in terms of social legitimacy and economic competitiveness.

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