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 feed-back 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.
Original language | English |
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Article number | 101498 |
Pages (from-to) | (In-Press) |
Journal | International Review of Financial Analysis |
Volume | 70 |
Early online date | 16 May 2020 |
DOIs | |
Publication status | Published - Jul 2020 |
Keywords
- Discount
- Exchange traded funds
- Feedback trading
- Premium
ASJC Scopus subject areas
- Finance
- Economics and Econometrics
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Profiles
-
Jia Shao
- Faculty Research Centre for Financial & Corporate Integrity - Associate
- Mathematics Support Centre - Lecturer in Statistics
Person: Teaching and Research