Premiums, discounts and feedback trading: Evidence from emerging markets' ETFs

Abstract

(2014) 'Premiums, discounts and feedback trading : evidence from emerging markets' ETFs.', International review of nancial analysis., 35 . pp. 80-89. Further information on publisher's website:http://dx.doi.org/10.1016/j.irfa.2014.07.010Publisher's copyright statement: NOTICE: this is the author's version of a work that was accepted for publication in International Review of Financial Analysis. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be re ected in this document. Changes may have been made to this work since it was submitted for publication. A de nitive version was subsequently published in International Review of Financial Analysis, 35, October 2014, 10.1016/j.irfa.2014.07.010. Additional information:Use policyThe full-text may be used and/or reproduced, and given to third parties in any format or medium, without prior permission or charge, for personal research or study, educational, or not-for-pro t purposes provided that:• a full bibliographic reference is made to the original source • a link is made to the metadata record in DRO • the full-text is not changed in any way The full-text must not be sold in any format or medium without the formal permission of the copyright holders.

Stock returns, illiquidity and feedback trading

“…To capture the potential for feedback trading we follow the method of Sentana and Wadhwani (1992), which in turn is based upon the work of Shiller (1984) and Cutler et al (1990). Several papers report supportive evidence of feedback trading using this approach (e.g., Koutmos, 1997;Koutmos and Saidi, 2001;Laopodis, 2005;Salm and Schuppli, 2010;Charteris et al, 2014). Thus, we present here the regression model designed to test the presence of feedback traders:…”

Essays on Financial Innovations: Feedback Trading, Tracking Efficiency and Innovation Index

“…These findings contrast with that of DeFusco et al (2011), Chau et al (2011), Ivanov (2013), Ceretta (2013), andCharteris et al (2014).…”

“…The first known ETF emerged in Canada in 1989 with the purpose of replicating the hypothetical portfolio of the Toronto 35 Index, which tracks daily returns of the most traded companies in the TSE (Toronto Stock Exchange), responsible for 35% of their market value (Charteris, Chau, Gavriilidis & Kallinterakis, 2014). However, from 1993 onwards, with their launch in the United States, ETFs gained popularity as an investment vehicle to track the S&P 500 Index (ticker: SPY).…”

Does feedback trading drive returns of cross-listed shares?

“…Further studies investigate the presence of feedback trading in other financial markets. This includes stock index futures (e.g., Antoniou et al, 2005;Salm and Schuppli, 2010;Hou and Li, 2014), foreign exchange markets (e.g., Vitale, 2000;Laopodis, 2005), exchange-traded fund markets (e.g., Chau et al, 2011;Charteris et al, 2014), emissions and energy markets and commodity markets (Heemeijer et al, 2009).…”