The Indicative Value–Price Puzzle in ETNs: <i>Liquidity Constraints, Information Signaling, or an Ineffective System for Share Creation?</i>

Diavatopoulos, Dean; Felton, James; Wright, Colbrin

doi:10.3905/joi.2011.20.3.025

Cited by 10 publications

(2 citation statements)

References 6 publications

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“…The data (Wright et al, 2010;Diavatopoulos et al, 2011). Table 1 presents the symbols of the ETN in our sample and those of their underlying assets.…”

Section: Methodsmentioning

confidence: 99%

“…A third possible source of nonlinearity is the process of share creation and redemption for ETN. For an ETN, it may take several days for creation and redemption of the assets 9 (Wright et al, 2010;Diavatopoulos et al, 2011). The reasons above may create some band of inertia within which any mispricing between two markets is not corrected, but rather continues for some time.…”

Section: The Hypothesesmentioning

confidence: 99%

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Commodity futures indexes and related exchange traded notes: Linear and nonlinear adjustment

Noman

Rahman²

2013

J Deriv Hedge Funds

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Recent financialization of the commodity futures markets has led to the introduction of exchange traded products (ETP) that are directly linked to some underlying commodity futures contracts. One such ETP is known as exchange traded notes (ETN). This article examines the long-run relationship between a set of 19 ETN markets and their underlying commodity futures indexes. It also investigates whether the long-run adjustment process is linear or nonlinear. The article employs daily data spanning from January 2009 to December 2011, and utilizes the Engle-Granger cointegration framework allowing for linear and nonlinear adjustment processes through the error correction term. The results indicate the existence of long-run cointegration between ETN prices and the values of their underlying commodity indexes. The long-run adjustment processes between these markets, however, exhibit nonlinearity, which can be attributed to a number of factors including the time lag involved in the process of creation and redemption of share units of an ETN.

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“…The data (Wright et al, 2010;Diavatopoulos et al, 2011). Table 1 presents the symbols of the ETN in our sample and those of their underlying assets.…”

Section: Methodsmentioning

confidence: 99%

Section: The Hypothesesmentioning

confidence: 99%