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 Rebalancing of exchange traded funds in stock market using option trading strategies

2021 ◽  
Vol 20 (3) ◽  
pp. 513-527
Author(s):  
Vinaykumar Elegeti
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Tracking Error ◽  
Threshold Value ◽  
Trading Strategies ◽  
Exchange Traded Funds ◽  
Dynamic Features ◽  
Financial Industry ◽  
Option Trading ◽  
The Impact

Motivation: The finance and academic industries are highly discussed in the stock market trading domain. The increase in economic globalization shows the connection among stock markets in different countries, which produces the effect of risk conduction in the market. Forecasting the direction of every day’s stock market return is important and challenging. The growing complexity and dynamic features in stock markets are difficult in the financial industry. The inflexible trading method developed by financial practitioners utilized a larger amount of stock market features and is failed to achieve a satisfactory result in every condition of the market. Further, the existing data mining approaches are incomplete and inefficient. Aim: To overcome the issues in stock and problem of existing methods, proposed option trading strategies for rebalancing Exchange Traded Fund (ETF) in the stock market. Rebalancing-ETF measure the volatility of the stock to track the error of model and rebalance the threshold quality to improve the trade. The proposed method increases the order of threshold quantity to rebalance the trade. Results: The result showed that the minimum orders increases in rebalancing trade, which reduces the impact of price formations in market. The tracking error occurs when the larger quantity of threshold value reduces the quantity. Then, the markets are changed significantly when the Net Asset Values (NAV) of rebalancing ETF increases.

scholarly journals SARS-CoV-2 infection in London, England: changes to community point prevalence around lockdown time, March–May 2020

2020 ◽  
pp. jech-2020-214730 ◽  
Author(s):  
Michael Edelstein ◽  
Chinelo Obi ◽  
Meera Chand ◽  
Susan Hopkins ◽  
Kevin Brown ◽  
...  
Keyword(s):  
Population Level ◽  
Small Sample ◽  
Point Prevalence ◽  
European Countries ◽  
Limited Information ◽  
The Uk ◽  
The Impact

BackgroundThe UK has been one of the European countries most affected by COVID-19 pandemic. The UK implemented a lockdown in March 2020, when testing policy at the time was focusing on hospitalised cases. Limited information is therefore available on the impact of the lockdown on point prevalence in the community. We assessed COVID-19 point prevalence in London between early April and early May 2020, which approximately reflect infection around the time of the lockdown and 3–5 weeks into lockdown.MethodsWe tested 1064 participants of a community surveillance cohort for acute COVID-19 infection using PCR in London in April and May 2020 and described positivity as well as characteristics and symptoms of the participants.ResultsPoint prevalence decreased from 2.2% (95% CI 1.4 to 3.5) in early April to 0.2% (95% CI 0.03 to 1.6) in early May. 22% of those who tested positive in April were asymptomatic. Extrapolation from reports of confirmed cases suggest that 5–7.6% of total infections were confirmed by testing during this period.ConclusionCOVID-19 point prevalence in the community sharply decreased after lockdown was implemented. This study is based on a small sample and regular seroprevalence studies are needed to better characterise population-level immunity.

scholarly journals Impact of index derivatives on Indian stock market volatility-an application of arch and GARCH model

2008 ◽  
Vol 6 (3) ◽  
pp. 39-44
Author(s):  
S. V. Ramana Rao ◽  
Naliniprava Tripathy
Keyword(s):  
Stock Market ◽  
Structural Changes ◽  
Garch Model ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Index Futures ◽  
Market Factors ◽  
Indian Stock Market ◽  
The Impact ◽  
Derivative Products

The present study examined the impact of introduction of index futures derivative and index option derivative on Indian stock market by using ARCH and GARCH model to capture the time varying nature of volatility presence in the data period from October 1995 to July 2006. The results reported that the introduction of index futures and index options on the Nifty has produced no structural changes in the conditional volatility of Nifty but however the market efficiency has been improved after the introduction of the derivative products. The study concludes that financial derivative products are not responsible for increase or decrease in spot market volatility, but there could be other market factors which influenced the market volatility

scholarly journals Alternative Estimating Methodologies of the UK Industry Cost of Equity Capital: The Impact of 2007 Financial Crisis and Market Volatility

2015 ◽  
Vol 8 (1) ◽  
pp. 111
Author(s):  
Panayiota Koulafetis
Keyword(s):  
Financial Crisis ◽  
Equity Capital ◽  
Market Volatility ◽  
Pricing Model ◽  
Cost Of Equity Capital ◽  
Market Uncertainty ◽  
Cost Of Equity ◽  
Economic Forces ◽  
The Uk ◽  
The Impact

<p>We compare estimates of the UK industry cost of equity capital between the unconditional beta Arbitrage Pricing Model (APM), the conditional beta APM and the Capital Asset Pricing Model (CAPM). A statistically significant eight-factor APM leads to the best estimates of the UK industry cost of equity capital. During our full sample time period any of the APMs, unconditional APM or conditional APM, do a much better job than the CAPM.</p>However at times of extreme market volatility during the 2007 financial crisis, the conditional APM is the best model with the least errors. During a financial crisis investors and market participants’ expectations are revised. Economic forces at play include: increased market uncertainty, increased investors’ risk aversion and capital scarcity. We find that the macroeconomic factors impeded in the Conditional APM that vary over time using the latest information in the market, incorporate the economic forces at play and capture the extreme market volatility. Our findings have direct implications in the financial markets for regulators, corporate financial decision makers, corporations and governments.

Tracking Errors and Their Determinants

2021 ◽  
Vol 15 (1) ◽  
Author(s):  
Patrick Kuok Kun Chu ◽  
Dan Xu
Keyword(s):  
Fixed Effects ◽  
Economies Of Scale ◽  
Stock Exchange ◽  
Tracking Error ◽  
Market Risk ◽  
Exchange Traded Funds ◽  
Tracking Errors ◽  
Tracking Ability ◽  
Trading Volumes ◽  
The Impact

The purposes of this study are to compare the tracking error between 53 sampled physical and 15 over-the-counter (OTC) swap-type exchange-traded funds (ETFs) on the Tokyo Stock Exchange, and to contribute to a better understanding of the impact of selected determinants on the daily tracking error. The sample synthetic ETFs are found having higher tracking error than the sampled physical ETFs. The synthetic-type ETF managers may be difficult in using derivatives to replicate the benchmark performance. A panel regression model with cross-section fixed effects indicates the tracking error of the sampled physical ETFs is negatively related to size but positively related to expense ratio, dividend yield, trading volumes, market risk, and number of constituents in the target indexes. The results conform with the hypotheses that the expense, delay in receiving dividends, the trading cost and the market risk may erode the tracking ability; on the other hand, the economies of scale will improve the tracking ability. This study may help to raise a broader discussion of potential tracking error determinants and to provide some new insights.

Foreign currency exposure within country exchange traded funds

2016 ◽  
Vol 33 (2) ◽  
pp. 222-243 ◽  
Author(s):  
Owen Williams
Keyword(s):  
Exchange Rate ◽  
Foreign Currency ◽  
Tracking Error ◽  
Exchange Traded Funds ◽  
Currency Risk ◽  
Content Type ◽  
Currency Exposure ◽  
The Exchange Rate ◽  
Sharpe Ratios ◽  
The Impact

Purpose The purpose of this paper is to consider the implicit effect of the underlying foreign currency exposure on the performance characteristics of country exchange traded funds. Design/methodology/approach To arrive at an overall estimation of the exchange-traded fund (ETF)’s tracking error, the mean of the three measures of tracking error was calculated for both the hedged (r_LC) and unhedged (r_NAV) return series. Since tracking error does not capture all the risk inherent in a country index fund, the study extends the analysis using the Sortino and Modified Sharpe ratios. Findings The decision to hedge currency risk should not be taken on the sole basis of historical volatilities. The investor must also factor in transactions costs, the possible roll of futures contracts and prevailing interest rate differentials. If the rate on the foreign currency is greater than the dollar (euro) rate, the investor will pay for the hedge. If the rate on the foreign currency is less than the dollar (euro) rate, the investor will gain on the trade. Given that hedging entails additional costs, in cases where the neutralization of currency volatility only reduces risk modestly, it would be advisable to leave the exchange rate risk unhedged. We propose two metrics for ETF investors deciding whether to hedge a country ETF’s underlying currency risk. Originality/value The results highlight a key finding: while the majority of country funds accurately track the performance of the underlying foreign index when measured in the local currency, returns in the fund currency can be much more volatile. In breaking down the sources of country fund volatility, the paper demonstrates the impact of the underlying currency movements on overall fund risk. In cases where the currency impact has a significant impact on fund tracking errors, an index-oriented investor benefits from neutralizing the exchange rate effect. Additionally, as the Sortino and Modified Sharpe measures suggest that the underlying currency exposure offers in most cases a better risk-adjusted return for country exchange-traded funds (ETFs) in the listing currency, we also calculate the risk minimizing foreign currency exposure for each fund and propose a decision rule based on the net currency variance to decide whether to hedge the ETF’s currency risk. The optimal hedge ratio indicates that US-based investors should only partially hedge the underlying currency risk while European-based investors are better off fully hedging currency risk.

Determinants of tracking error in German ETFs – the role of market liquidity

2016 ◽  
Vol 42 (5) ◽  
pp. 417-437 ◽  
Author(s):  
Friedrich Osterhoff ◽  
Christoph Kaserer
Keyword(s):  
Fixed Effects ◽  
Tracking Error ◽  
Market Liquidity ◽  
Special Focus ◽  
Exchange Traded Funds ◽  
Content Type ◽  
Tracking Ability ◽  
Liquidity Cost ◽  
Underlying Stocks ◽  
The Impact

Purpose – The purpose of this paper is to contribute to a better understanding of the impact of market liquidity on the daily tracking error of exchange-traded funds (ETFs). It puts a special focus on the liquidity cost of individual underlying stocks as well as the process of creation/redemption of ETF shares as key determinants of tracking ability. Design/methodology/approach – The study is based on daily observations of fund data for eight fully replicating German equity ETFs for July 2001-October 2013. A regression model with fund fixed effects is chosen to determine the effect of liquidity cost, creation/redemption and other control variables on daily tracking error. Data were compiled from issuer websites and Datastream. Proprietary XETRA Liquidity Measure, which was used as proxy for liquidity cost was supplied by Deutsche Börse. Findings – The study finds daily tracking error to significantly depend on the liquidity of underlying stocks. This finding emerges even though the ETFs in this study predominantly use in-kind creation/redemption. Even after controlling for creation/redemption, the liquidity impact remains basically unchanged. One reason might be imperfect replication of index weights: Either the in-kind-basket delivered in the course of creation/redemption does not perfectly match the benchmark-weights or the internal rebalancing of weights causes liquidity cost. Originality/value – To the best of the authors’ knowledge, this is the first paper that uses a specific liquidity measure for each single stock underlying an ETF. The findings extend the literature by corroborating the view that liquidity of individual stocks in the underlying portfolio has an impact on tracking error.

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 The media, personal digital criminal legacies and the experience of offenders convicted of occupational fraud and corruption

2019 ◽  
Vol 6 (1) ◽  
pp. 3-16
Author(s):  
David Shepherd ◽  
Emma Beatty ◽  
Mark Button ◽  
Dean Blackbourn
Keyword(s):  
Media Coverage ◽  
Small Sample ◽  
Privacy Rights ◽  
Content Type ◽  
Occupational Fraud ◽  
The Media ◽  
White Collar Offenders ◽  
The Uk ◽  
And Coping ◽  
The Impact

Purpose The purpose of this paper is to explore the impact of media coverage on offenders convicted of occupational fraud and corruption in the UK. It examines the extent of media coverage and provides insights into the experiences of offenders. Design/methodology/approach The study is based upon interviews with 17 convicted offenders, and on a content analysis of one national and two regional newspapers in the UK. Findings The findings suggest that offenders convicted of occupational crime and corruption are more likely to experience media coverage than previously assumed and that personal digital criminal legacies create long-term labels which lead to economic strains and social fractures that hinder productive reintegration into society. Research limitations/implications The research is limited by a small sample frame in the UK. Nevertheless, the findings suggest further research is required as they have important implications for privacy and rehabilitation. Practical implications In particular, offenders and their families need support in dealing with their personal digital criminal legacies, accessing their privacy rights and coping with the strains created by online stigmatisation. From a policy perspective, the existing regulatory framework that supports rehabilitation in the UK, especially the increasingly archaic Rehabilitation of Offenders Act 1974, requires close examination and debate to ensure it is fit for the digital era. The findings also suggest that policies, practices and responsibilities of the public sector in employing offenders need to be examined. Originality/value It is a rare study of white-collar offenders after their release from prison. The findings are of relevance to criminal justice policy makers, rehabilitation services and academics.

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