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What does futures market interest tell us about the macroeconomy and asset prices?

Hong, Harrison G.; Yogo, Motohiro - In: Journal of financial economics 105 (2012) 3, pp. 473-490

Persistent link: https://www.econbiz.de/10009666813

Volatility forecast of country ETF : the sequential information arrival hypothesis

Tseng, Tseng-Chan; Lee, Chien-Chiang; Chen, Mei-Ping - In: Economic modelling 47 (2015), pp. 228-234

Persistent link: https://www.econbiz.de/10011439071

A dynamic equilibrium model of ETFs

Malamud, Semyon - 2015

and basket securities. I show that the creation/redemption mechanism serves as a shock propagation channel through which … returns and may improve the liquidity of the underlying securities …

Persistent link: https://www.econbiz.de/10011412317

Optimal gasoline hedging strategies using futures contracts and exchange-traded funds

Sukcharoen, Kunlapath; Choi, Hankyeung; Leatham, David J. - In: Applied economics 47 (2015) 31/33, pp. 3482-3498

Persistent link: https://www.econbiz.de/10011293520

Enhanced index replication based on smart beta and tail-risk asset allocation

Korzeń, Kamil; Ślepaczuk, Robert - 2021

Persistent link: https://www.econbiz.de/10012816699

Fixed-income ETFs : a liquidity illusion?

Maitra, Anando; Satchell, Stephen - In: Journal of risk management in financial institutions 14 (2020/2021) 4, pp. 321-344

Persistent link: https://www.econbiz.de/10012818406

ETF arbitrage under liquidity mismatch

Pan, Kevin; Zeng, Yao - 2017

A natural liquidity mismatch emerges when liquid exchange traded funds (ETFs) hold relatively illiquid assets. We provide a theory and empirical evidence showing that this liquidity mismatch can reduce market efficiency and increase the fragility of these ETFs. We focus on corporate bond ETFs...

Persistent link: https://www.econbiz.de/10011978386

Model-driven statistical arbitrage on LETF option markets

Nasekin, Sergey; Härdle, W. K. - In: Quantitative finance 19 (2019) 11, pp. 1817-1837

Persistent link: https://www.econbiz.de/10015123056

Investor sentiment and risk appetite of real estate security market

Hui, Eddie Chi Man; Zheng, Xian; Wang, Hui - In: Applied economics 45 (2013) 19/21, pp. 2801-2807

Persistent link: https://www.econbiz.de/10010189350

Fallbacks for BBSW securities

Cole, Duke; Pendle, Lara - In: Bulletin / Reserve Bank of Australia (2022), pp. 66-71

Persistent link: https://www.econbiz.de/10013369778