Exchange-Traded Notes: <i>An Introduction</i>

Wright, Colby; Diavatopoulos, Dean; Felton, James

doi:10.3905/joi.2010.19.2.027

Cited by 22 publications

(3 citation statements)

References 4 publications

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“…Most of the ETNs are basically issued by large investment banks. This means that the financial viability of the issuer is one of the major risk factors that should influence the price of ETNs (Wright, Diavatopoulos & Felton, 2010). Huge investment banks continue offering ETNs (e.g., the South African unit of Deutsche Bank AG launched new ETNs that track China and South Africa) and expand their operations in emerging markets (EMs).…”

Section: Introductionmentioning

confidence: 99%

Long-memory Modelling and Forecasting of the Returns and Volatility of Exchange-traded Notes (ETNs)

Masa

Diaz

2017

Margin: The Journal of Applied Economic Research

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This research provides evidence in determining the predictability of exchange-traded notes (ETNs). It utilises commodity, currency and equity ETNs as data samples, and examines the performance of the three combinations of long-memory models, that is, autoregressive fractionally integrated moving average and generalised autoregressive conditional heteroskedasticity (ARFIMA-GARCH), autoregressive fractionally integrated moving average and fractionally integrated generalised autoregressive conditional heteroskedasticity (ARFIMA-FIGARCH) and autoregressive fractionally integrated moving average and hyperbolic generalised autoregressive conditional heteroskedasticity (ARFIMA-HYGARCH), and three forecasting horizons, that is, 1-, 5- and 20-step-ahead horizons, to model ETNs returns and volatilities. The article finds long-memory processes in ETNs; however, dual long-memory process in returns and volatilities is not verified. The research also poses a challenge to the weak-form efficiency hypothesis of Fama (1970) because lagged changes determine future values, especially in volatility. The findings also show that differences in the characteristics of commodity, currency and equity ETNs are not concluded because of similarities in ETN traits and several insignificant results. However, the presence of intermediate memory was identified, and should serve as a warning sign for investors not to keep these investments in the long run. Lastly, the ARFIMA-FIGARCH model has a slight edge over the ARFIMA-GARCH and ARFIMA-HYGARCH specifications using 1-, 5- and 20-forecast horizons. JEL Classification: G11, G17

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Section: Introductionmentioning

confidence: 99%

Long-memory Modelling and Forecasting of the Returns and Volatility of Exchange-traded Notes (ETNs)

Masa

Diaz

2017

Margin: The Journal of Applied Economic Research

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“…ETFs (Poterba and Shoven, 2002) and ETNs (Wright, Diavatopoulos, and Felton, 2010) are relatively new types of traded securities that have grown in popularity over the past 20 years. In the case of an ETF, shares represent claims on an underlying pool of assets.…”

Section: Tradingmentioning

confidence: 99%

Student-Managed Commodity Fund—A New Frontier in Experiential Learning

Isengildina‐Massa

Ramsey

2019

J. Agric. Appl. Econ.

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This study provides a road map for creating and operating a student-managed investment fund (SMIF) as an experiential learning opportunity in commodity market analysis. We describe the reasons for implementing a SMIF and the benefits it offers relative to traditional simulation approaches. We outline the necessary steps for starting a SMIF and explain its organizational structure. We discuss a SMIF’s operation and main activities, which include recruitment, training, trading, and interaction with the client and alumni. The implications of participating in a SMIF are reviewed within a cost-benefit framework.

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“…ETN investors face the possibility that the issuer may be unable to pay the obligation at maturity, while ETF investors face no such risk (Wright et al 2010).…”

Section: Exchange-traded Notes (Etns)mentioning

confidence: 99%

Exchange traded funds in Europe and the US

Τσαλίκης¹

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Τα Διαπραγματεύσιμα Αμοιβαία Κεφάλαια είναι από τα πιο επιτυχημένα και καινοτόμα χρηματοοικονομικά προϊόντα των δύο τελευταίων δεκαετιών. Έχουν γίνει εξαιρετικά δημοφιλείς τόσο από ιδιώτες όσο και από θεσμικούς επενδυτές λόγω της απλότητας, των χαμηλού κόστους διαφοροποίησης και της εύκολης προσβασιμότητας σε διάφορες κατηγορίες περιουσιακών στοιχείων. Αυτή η διατριβή στοχεύει στην αύξηση της κατανόησης του τρόπου λειτουργίας των ETF και στην εξέταση εάν αποτελούν ασφαλές επενδυτικό μέσο για τους επενδυτές. Αν και τα πρώτα ETF ήταν σχετικά απλά και εύκολα κατανοητά, οι πρόσφατες καινοτομίες, oπως τα μοχλευμένα ETF, είναι πιο περίπλοκες και απαιτούν υψηλότερα επίπεδα εξειδίκευσης. Αυτές οι εξελίξεις δημιούργησαν νέες ευκαιρίες και προκλήσεις για επενδυτές και ρυθμιστικές αρχές. Ένας άλλος στόχος αυτής της διατριβής είναι να αξιολογηθεί η δομή των μοχλευμένων ETF και τα ιδιαίτερα χαρακτηριστικά τους μιας και η δυναμική των τιμών τους εξαρτώνται από τη διαδρομή του δείκτη που ακολουθούν.

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Exchange-Traded Notes: An Introduction

Cited by 22 publications

References 4 publications

Long-memory Modelling and Forecasting of the Returns and Volatility of Exchange-traded Notes (ETNs)

Long-memory Modelling and Forecasting of the Returns and Volatility of Exchange-traded Notes (ETNs)

Student-Managed Commodity Fund—A New Frontier in Experiential Learning

Exchange traded funds in Europe and the US

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