Pricing Inefficiencies and Feedback Trading: Evidence From Country ETFs

Vasileios Kallinterakis, Fei Liu, Athanasios Pantelous, Jia Shao

Research output: Working paper/PreprintPreprint


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, particu-larly 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 re-ported 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.
Original languageEnglish
PublisherSocial Science Research Network (SSRN)
Publication statusPublished - 12 Mar 2020

Bibliographical note

Pre-publication version of article published in: International Review of Financial Analysis, Volume 70, 101498, July 2020, DOI: 10.1016/j.irfa.2020.101498


  • Feedback Trading
  • Exchange Traded Fund
  • Premium
  • Discount


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