Kallinterakis, Vasileios ORCID: 0000-0001-6217-1188, Liu, Fei, Pantelous, Athanasios A ORCID: 0000-0001-5738-1471 and Shao, Jia
(2020)
Pricing inefficiencies and feedback trading: Evidence from country ETFs.
International Review of Financial Analysis, 70.
p. 101498.
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Abstract
In view of the established presence of wide deviations of US-listed country ETFs' prices from their net asset values, we study whether feedback trading exists in this category of ETFs and whether it varies with their premiums and discounts. Using a sample of nineteen country ETFs for the 2000–2019 window, we find that feedback trading is present in several of them, particularly those targeting Asia Pacific markets. Feedback trading varies with the sign (i.e., premiums and discounts), level, and nature (observed/forecast) of these deviations, as well as prior to and after the outbreak of the 2008 crisis. Of particular note is the widespread feedback trading reported across the vast majority of country ETFs on those days for which there exist successful predictions of premiums/discounts, a fact suggesting that country ETFs' premiums/discounts contain useful information as per their trading dynamics.
Item Type: | Article |
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Additional Information: | Source info: International Review of Financial Analysis, Volume 70, 101498, July 2020, DOI: 10.1016/j.irfa.2020.101498 |
Uncontrolled Keywords: | Feedback trading, Exchange traded funds, Premium, Discount |
Depositing User: | Symplectic Admin |
Date Deposited: | 03 Dec 2020 08:50 |
Last Modified: | 18 Jan 2023 23:25 |
DOI: | 10.1016/j.irfa.2020.101498 |
Related URLs: | |
URI: | https://livrepository.liverpool.ac.uk/id/eprint/3105623 |
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Pricing inefficiencies and feedback trading: evidence from country ETFs. (deposited 13 May 2020 09:31)
- Pricing inefficiencies and feedback trading: Evidence from country ETFs. (deposited 03 Dec 2020 08:50) [Currently Displayed]