Sat, Nov 1, 2014
A A A
Welcome kbr175@gmail.com
RSS

Commodities Briefing - Categorized | ETFs / ETCs more

When ETFs make things more volatile

Posted on 29 April 2014

Do ETFs impact the volatility of the underlying stocks they are based on? We study whether exchange traded funds (ETFs)—an asset of increasing importance—impact the volatility of their underlying stocks. Using identification strategies based on the mechanical variation in ETF ownership, we present evidence that stocks owned by ETFs exhibit significantly higher intraday and daily volatility.
We estimate that an increase of one standard deviation in ETF ownership is associated with an increase of 16% in daily stock volatility. The driving channel appears to be arbitrage activity between ETFs and the underlying stocks………………………………………..Full Article: Source


 Article link

This post was written by:

VRS - who has written 37739 posts on Opalesque Commodities Briefing.


Contact the author

Comments are closed.

banner
November 2014
S M T W T F S
« Oct    
 1
2345678
9101112131415
16171819202122
23242526272829
30