Download or read book Three essays on the microstructure of exchange traded funds written by Samique March and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on the Microstructure of Exchange Traded Funds written by Van Thuan Nguyen and published by . This book was released on 2005 with total page 153 pages. Available in PDF, EPUB and Kindle. Book excerpt: The second essay examines competition among exchanges for order flow in ETFs. We find that ECNs dominate the market for ETFs. Besides providing superior prices to investors, ECNs also offer non-price services such as speedy execution and anonymity. Given the superior execution services on ECNs and the low adverse selection costs in ETF markets, liquidity traders also trade on ECNs. The results suggest that ECNs satisfy both liquidity and informed traders in the market for ETFs and this explains why they gain substantial order flow. We also find that quote-based competition is prevalent in the market for ETFs. Overall, our study supports the view that multimarket trading is a desirable development that helps cater to investors' diverse needs.

Download or read book Berlusconi Silvio 1936 written by and published by . This book was released on 1992 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Zeitungsausschnitte (1992-2000).

Download or read book Three Essays on Market Microstructure written by Daejin Kim and published by . This book was released on 2014 with total page 135 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Exchange traded Funds written by Daniel Elijah Sherrill and published by . This book was released on 2014 with total page 118 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays on exchange-traded funds (ETFs). The dissertation research seeks to contribute to a deeper understanding of the impact of ETFs upon the financial markets, discover insights into the realm of performance persistence, and identify the factors leading to ETF liquidations. The first essay investigates the impact that sector exchange-traded funds have upon stocks that they hold. We find that sector ETF ownership is associated with stock return comovement, especially with other industry stocks that are also held by sector ETFs. We show that sector ETF ownership is related to a muted abnormal return and trading volume reaction to earnings surprises. Even when considering other types of institutional investors, sector ETFs appear to be the main driver behind these findings. The second essay documents the existence of ETF performance persistence. This calls into question interpretations used in the mutual fund literature suggesting performance persistence is evidence of manager skill. Given their passive nature, performance persistence should not exist amongst ETFs if the sole source of this persistence is manager skill. A decomposition of performance into stock composition and industry exposure sources reveals that this persistence is attributable predominately to a fund's industry exposure. Furthermore, the underlying source of the persistence is a flow-driven return effect where fund flows place price pressure on stocks leading to persistence in fund returns. An industry flow-based explanation best accounts for positive persistence of winners while stock flow-based reasons better explain persistence of past losers. The third essay studies the determinants of ETF liquidations. Investors are subject to tax, trading, and search costs as a result of holding a liquidated fund. I find that fund size and flows are essential to a fund's survival. Larger fund families are also more likely to produce funds that will avoid liquidation. Funds that are latecomers to a trending category that subsequently underperforms are less likely to survive. Finally, I find that the average investor holding a fund with an upcoming liquidation is best served to immediately sell the liquidating fund and purchase other funds in the same category.

Download or read book Three Essays on Exchange traded Funds written by Ramabhadran Srinivasan Thirumalai and published by . This book was released on 2004 with total page 194 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Exchange Traded Funds written by Maria del Carmen Marí Clérigues and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Exchange Traded Funds written by and published by . This book was released on 2007 with total page 350 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Exchange Traded Funds written by Samuel Johnstone Hempel and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Chapter 1 The rise of exchange-traded funds (ETFs) has attracted significant attention from investors, regulators, and academics alike. Despite the widely asserted importance of authorized participants (APs) to ETFs' structure and function, little is known about the effects of AP behavior on ETFs and ETFs' underlying assets. Using AP-identified regulatory data from FINRA, I show that APs' inventories do not affect ETF prices, contrary to past inventory literature. I find that when APs are inventory-neutral, liquidity shocks to the ETF do not transmit to the underlying assets. These results are largely unchanged in a high-volatility subsample, although there is some concern for thinly traded ETFs. In a daily panel, I show that APs' inventories are associated with their decisions to create or redeem ETF shares. These results suggest that the unique features of APs may benefit ETF market participants, especially in more liquid ETFs. Chapter 2 Exchange-traded funds (ETFs) trade throughout the day, just like their underlying securities. Yet the simple problem of knowing an ETF's underlying portfolio value during the day has been elusive in publicly available data. I develop a new regression- based method to compute the ex-post underlying portfolio value of a US passive equity ETF on an intraday basis. Using widely available data, this method improves in three ways over the most popular method to date (intraday indicative values): (1) Higher time resolution, (2) No stale prices, and (3) Visibility of the underlying bid-ask spread. I also provide a LASSO version of the method, and I validate the results using official portfolio data from the DTCC, a large central clearinghouse for ETFs and their underlying securities. Chapter 3 Leveraged exchange-traded funds (Leveraged ETFs) advertise the ability to replicate the daily return of a given index on a levered or inverse basis. These products are highly risky, and the costs of trading leveraged ETFs are quite substantial, raising questions about which types of traders would choose to use them. I use confidential regulatory data to identify institutional and retail order flow in ETFs, and I demonstrate that institutional order flow to leveraged ETFs is uninformed.

Download or read book Market Microstructure written by United States. Congress. Senate. Committee on Banking, Housing, and Urban Affairs. Subcommittee on Securities, Insurance, and Investment and published by . This book was released on 2012 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on the Empirical Market Microstructure of Money Market Derivatives written by Jing Nie and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Equity Exchange traded Funds written by Friedrich Osterhoff and published by . This book was released on 2016 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Financial Market Design written by Ayan Bhattacharya and published by . This book was released on 2016 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: The many financial crises of the last century-and most recently, the Great Recession of 2008 have highlighted the crucial role that market design can play in exacerbating or dampening a difficult economic situation. An important thrust of the economic discipline in recent years, therefore, has been to understand the merits and flaws in existing financial market designs in order to provide prescriptions for improvement. The three essays in my dissertation contribute to this undertaking. The first essay studies the effect of post-trade transparency reforms in overthe-counter markets. Contrary to received wisdom, I show that such reforms can hurt investors in many situations because potential counterparties may stay away from the market and monitor trades for information before participating, when there is transparency. This can lead to liquidity dry-ups and speculative prices for investors. The second essay is a joint study with Maureen O'Hara and explores the working of exchange traded funds (ETFs). When ETFs were first launched, they were a sideshow to underlying asset markets. Today, however, we have numerous ETFs on assets that are hard-to-trade otherwise. We demonstrate how inter-market information linkages in such ETF markets can lead to market instability and herding. The third essay, joint work with Gideon Saar, is a theoretical investigation of dynamic limit order markets with asymmetric information. This essay throws light on a vexing question in market microstructure-the use of limit orders by informed traders.

Download or read book Three Essays on Market Efficiency written by Thanasin Tanompongphandh and published by . This book was released on 2011 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation tackles the concept of market efficiency from three distinct topics in applied economics, from microfinance, to agriculture commodity market, and further to market microstructure of the most advanced economy. The first essay, entitled "Market Efficiency and Price Discovery Among Leading Rice Exporting Countries", focuses on the issue of rice market efficiency. The study establishes, under Johansen's procedure, that there are long-run price co-movements existing among the three major rice-exporting countries, and within the United States domestic markets, the long-run efficient linkage between spot and future prices of rough rice, as Chicago Board of Trade rough rice futures converge to United States Department of Agriculture rough rice prices in a cash market. Regarding the efficiency among the export market prices, results show that the hypothesis of market efficiency are rejected in two of the three pairs, namely Thai-Vietnam and ThaiUS(Arkansas). The Gonzalo & Granger (1995) decomposition method finds that the Thai and United States rice are dominant in the price discovery process. Within the United States domestic markets, the dominant is the futures market followed by the cash market of the rough rice and then the milled rice export price. The second essay, entitled "Determinants for Formal Credit and Informal Credit Access: The Case of Thai Farm Households", examines determinants for Thai agricultural households' participation in formal and its informal parallel credit markets. The study follows Heckman's two-stage selection model (1979) approach to determine the informal loan participation of Thai agricultural households. Results reveal that households tend to 'stick' to the credit market in which they were previously engaged. This finding reinforces the vicious cycle which makes it more difficult for farmers to get out of debt. Secondly, the study finds that wealthier households are less likely to access credit, and are more likely to participate in formal credits than their less wealthy peers. Results also show less probability of credit access between May and December coinciding with the planting and harvesting season accentuating the nature of loans as working-capital rather than consumption loans. Finally, the study discovers that households with owned farmland are more likely to participate in the formal credit market, while households with rented farmland are more likely to participate in the informal credit market stressing the use of owned land as collateral to participate in the former. The final essay, entitled "On the Challenge of Testing Weak-Form Market Efficiency using High Frequency Data", explores the issue of efficiency in microstructure of the Exchange-Traded-Fund (ETF). This essay shows that the profitability of a simple technical trading strategy hinges heavily on the way the Trades And Quotes (TAQ) dataset is filtered for mistakes and outliers. This paper uses ultra-high-frequency TAQ data that cover the time-span since the inception of the S & P 500 ETF from January 1993 to December 2006. First, a widely used filtering methodology proposed by Hasbrouck (2003) is adopted. Under this methodology, the technical trading strategy clearly outperforms the buy-and-hold benchmark. However, when a more appropriate (stringent) filtering methodology is used, the technical trading strategy clearly underperforms the buy-and-hold benchmark. This evidence suggests that studies that based their methodology on Hasbrouck's (2003) less stringent filtering criterion could produce misleading results.

Download or read book Three Essays in Microstructure of Derivative Markets written by Souliphone Pholsena and published by . This book was released on 2005 with total page 652 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Microstructure of Foreign Exchange Markets written by Jeffrey A. Frankel and published by University of Chicago Press. This book was released on 2009-05-15 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: The foreign exchange market is the largest, fastest-growing financial market in the world. Yet conventional macroeconomic approaches do not explain why people trade foreign exchange. At the same time, they fail to explain the short-run determinants of the exchange rate. These nine innovative essays use a microstructure approach to analyze the workings of the foreign exchange market, with special emphasis on institutional aspects and the actual behavior of market participants. They examine the volume of transactions, heterogeneity of traders, the time of day and location of trading, the bid-ask spread, and the high level of exchange rate volatility that has puzzled many observers. They also consider the structure of the market, including such issues as nontransparency, asymmetric information, liquidity trading, the use of automated brokers, the relationship between spot and derivative markets, and the importance of systemic risk in the market. This timely volume will be essential reading for anyone interested in the economics of international finance.

Download or read book Exchange Traded Funds Market Volatility and Market Efficiency written by Liao Xu and published by . This book was released on 2015 with total page 412 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis contributes to the literature by comprehensively exploring the connections between index-tracking Exchange Traded Funds (ETFs) and their underlying index. Its main part consists of three essays focusing on S&P 500 index. The first essay studies the relation between S&P 500 volatility and ETF trading activities using OLS, GARCH and VAR approaches. Results of OLS and GARCH estimations suggest that the contemporaneous ETF trading is a prime contributor to index volatility. VAR estimation not only shows a significant effect of lagged ETF trading on index volatility but also presents a two-way Granger causality between the two variables. The second essay sheds insights on the relation between ETF trading and index price efficiency, and the price discovery process of the index and its ETFs. There is solid evidence showing that both contemporaneous and lagged ETF trading activities are crucial contributors to the price efficiency of the underlying index, while this efficiency impact by ETF trading is weakened by ETF creation/redemption. Moreover, the synthetic ETF price dominates the index in information share and the dominance increases in ETF trading. However, the relation between an individual ETF's information share and its trading volume varies, depending on the size of the ETF. The last essay analyzes the relation between information-based ETF trading and the volatility of the underlying index. It first decomposes ETF trading by the novel HMM approach of Yin and Zhao (2014), and then explores the effect of each type of ETF trading on S&P 500 volatility. It demonstrates that the ETF trading stemming from investors' disagreement is a leading determinant of index volatility. However, privately-informed ETF trading shows no significant impact on S&P 500 volatility while liquidity ETF trading can partially explain the volatility. Moreover, these trading components of the leading ETF have more profound effects than smaller ETFs.