Search Results - subject_exact:"Index derivative"

Diversifier, hedge, or safe haven? : Bitcoin's role against the Brazilian stock market during the COVID-19 turmoil

Dias, Vitor Fonseca Machado Beling; Malaquias, Rodrigo … - 2026

The main purpose of this study was to analyze the dynamics of the conditional correlation between Bitcoin and BOVA11 (a Brazilian stock market ETF that has seen a significant increase in foreign investors) across the pre-, during, and post-COVID-19 pandemic periods. This analysis allowed us to...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015638920

A comparative analysis of overnight vs. daytime static and momentum strategies across sector ETFs

Salotra, Gourav; Katikireddy, Tharunya; Anumolu, Yaswanth; … - 2026

This study examines overnight vs. daytime static and momentum strategies applied to ten sector Exchange-traded funds (ETFs) over a 27-year period from 1999 to 2025. Our findings reveal that several such strategies, particularly reversal strategies, consistently outperform static and buy-and-hold...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015640217

Biodiversity mutual funds and ETFs : characteristics, performance, risk, and fees

Fang, Fei; Luo, Di - 2026

This paper provides an exploratory analysis of biodiversity-themed funds and offers early evidence on their characteristics, performance, risk, fees, and sustainability metrics. Using a sample of 24 open-end biodiversity funds (18 mutual funds and 6 ETFs), we find that these funds are...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015653562

Structural spillovers among Bitcoin, Ethereum, Gold, and U.S. equities : evidence from the 2024 spot ETF institutionalization regime

Bukaita, Wisam; Li, Xinrui - 2026

This study examines dynamic interdependencies and risk transmission among major cryptocurrencies and traditional financial assets, including Bitcoin, Ethereum, U.S. equities, and gold, over the period 2017-2024. Particular attention is given to the structural shift associated with the 2024 U.S....

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015633858

The impact of currency market shocks on global bond fund returns and volatility

Lü, Zheng; El Khoury, Rim; Jiang, Zhuhua; Ozcelebi, Oguzhan - 2026

This study employs advanced econometric models-TVP-SV-VAR, BEKK-MGARCH, DCC)-MGARCH, and WQR models-to analyse the exchange rate sensitivity of global bond ETFs. It examines four major funds (BNDX, TPINX, MGBIX, and FGBFX) with differing exposures to Samurai, Yankee, and Bulldog bonds. The...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015664879

Contemporaneous and lagged R² decomposed connectedness : evidence for stock market indices, thematic ETFs, bitcoin, brent crude oil and geopolitical risks

Belhouichet, Fekria; Caporale, Guglielmo Maria; … - 2025

This paper applies the R² connectedness method proposed by Balli et al. (2023) to analyse contemporaneous and lagged connectedness between returns on several asset classes (sector ETFs, Bitcoin, stock market indices, Brent crude oil) over the period 1 January 2023 – 22 September 2025, in the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015547417

Cointegration-based pairs trading : identifying and exploiting similar exchange-traded funds

Chen, Kezhong; Alexiou, Constantinos - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015485829

Inflation-driven instability in US sectoral betas

Valadkhani, Abbas - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015485833

Deciphering digital assets exchange-traded funds : correlations, contradictions, and systematic influences

Malhotra, Davinder Kumar - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015485845

Does investor sentiment influence South African ETF flows during different market conditions?

Shenjere, Paidamoyo Aurleen; Ferreira-Schenk, Sune; … - 2025

The exponential growth in popularity of ETFs over the last three decades has solidified ETFs as an essential component of many investors' portfolios. Investor sentiment is one of the factors that influence market returns of ETFs during times of market volatility. This article highlights the gap...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015206929

Market broadening and future volatility : a study of Russell 2000 and S&P 500 equal weight ETFs

Valadkhani, Abbas; O'Mahony, Barry - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015372579

Do passive investors influence corporate social responsibility? : a risk-management perspective

Hou, Wenxuan; Zhang, Xiaoyu - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015334540

Do investors in clean energy ETFs herd? : the role of climate risks

Babalos, Vassilios; Sibande, Xolani; Bouri, Elie; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015339255

Dynamic conditional correlation between green and grey energy ETF markets using cDCC-MGARCH model

Algarhi, Amr Saber - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015329872

Do investors tend to overreact when investing in clean energy stock indices?

Dias, Rui; Galvão, Rosa Morgado; Cruz, Sandra; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015416376

Cryptocurrency ETFs vs. nonredeemable investment trusts : an in-depth analysis

Tang, Hongfei; Xie, Kangzhen; Xu, Xiaoqing Eleanor - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015464759

Modeling the implied volatility smirk in China : do non-affine two-factor stochastic volatility models work?

Ye, Yifan; Fan, Zheqi; Ruan, Xinfeng - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015464832

Are macroeconomic variables a determinant of ETF flow in South Africa under different economic conditions?

Moodley, Fabian; Lawrence, Babatunde; Tabash, Mosab I. - 2025

The objective of this study is to examine the effect of macroeconomic variables on exchange-traded funds (ETFs) returns under different market conditions. The growing prominence of ETFs in emerging markets has over the years drawn much relevance in the academic front for the ability to track the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015466482

ETF resilience to uncertainty shocks : a cross-asset nonlinear analysis of AI and ESG strategies

Gheorghe, Cătălin; Panazan, Oana; Alnafisah, Hind; … - 2025

This study investigates the asymmetric responses of AI and ESG Exchange Traded Funds (ETFs) to geopolitical and financial uncertainty, with a focus on resilience across market regimes. The NASDAQ-100 and MSCI ESG Leaders indices are used as proxies for thematic ETFs, and their dynamic...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015467307

ETFs and the price volatility of underlying bonds

Agapova, Anna; Kaprielyan, Margarita; Volkov, Nikanor - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015470961

U.S. options exchange-traded funds : performance dynamics and managerial expertise

Hadad, Elroi; Malhotra, Davinder; McLeod, Robert - 2025

This study examines the performance dynamics of U.S. options exchange-traded funds (ETFs), whose investment strategy involves options contracts. Analyzing monthly returns data from February 2014 to April 2023, we evaluate the risk-adjusted performance, volatility, and market sensitivity of U.S....

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015471224

Rolling in the green? : a closer look at cannabis ETFs' market munchies

Fabozzi, Frank J.; Malhotra, Davinder Kumar - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015447812

Multi-moment and multilayer analysis of connectedness among clean, brown, and technology ETFs : the role of climate risk

Olaniran, Abeeb; Bouri, Elie; Gupta, Rangan - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015412375

Idiosyncratic contagion between ETFs and stocks : a high dimensional network perspective

Wang, Yu; Sun, Yiguo - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015432284

The investment styles and performance of AI-related ETFs : analyzing the impact of active management

Poutachidou, Nikoletta; Koulis, Alexandros - 2025

This paper studies the performance of ETFs that invest in companies involved in artificial intelligence (AI) technologies, such as firms focused on AI research, development, and applications. Using daily data from 15 American ETFs focused on AI-related companies over the period from 1 February...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015432822

Does the introduction of US spot Bitcoin ETFs affect spot returns and volatility of major cryptocurrencies?

Babalos, Vassilios; Bouri, Elie; Gupta, Rangan - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015434140

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Does the introduction of US spot Bitcoin ETFs affect spot returns and volatility of major cryptocurrencies?

Babalos, Vassilios; Bouri, Elie; Gupta, Rangan - 2024

Book / Working Paper

Does political risk affect the efficiency of the exchange-traded fund market? : entropy-based analysis before and after the 2025 U.S. presidential inauguration

Olbryś, Joanna - 2025

The aim of this research is to thoroughly investigate the influence of the 2025 Donald Trump Presidential Inauguration on informational efficiency of the U.S. exchange-traded fund market in the context of political risk. The data set includes daily observations for twenty U.S. Exchange-Traded...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015437046

The role of taxes in the rise of ETFs

Moussawi, Rabih; Shen, Ke; Velthuis, Raisa - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015458837

Exchange-traded funds and transparency in over-the-counter markets

Doan, Viet-Dung - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015459403

Tail connectedness between robotics and AI ETFs and traditional us assets under different market conditions : a quantile var approach

Belhouichet, Fekria; Caporale, Guglielmo Maria; … - 2025

This paper examines tail connectedness between various exchange-traded funds (ETFs) focused on artificial intelligence (AI) and some traditional assets such as bonds, equities, Bitcoin, and oil, as well as the VIX uncertainty index, using US daily data over the period from 1 January 2023 to 23...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015459571

Persistence in stock returns : robotics and AI ETFs versus other assets

Belhouichet, Fekria; Caporale, Guglielmo Maria; … - 2025

This paper examines the long-memory properties of returns of exchange-traded funds (ETFs) specializing in robotics and artificial intelligence (AI) listed on the US market, as well as those of other assets such as the WTI crude oil price (West Texas Intermediate), Bitcoin, the S&P 500 index,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015462503

Effects of liquidity on TE and performance of Japanese ETFs

Naka, Atsuyuki; Tian, Jiayuan; Shin, Seungho - 2025

This study identifies a nonlinear relationship among liquidity, tracking error, and risk-adjusted performance in JETFs. Collecting daily data for 1077 JETFs from January 2008 to April 2022, we find a concave association, whereby both highly liquid and highly illiquid JETFs exhibit lower...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015462901

ETF (mis)pricing

Kirilenko, Andrei; Kraus, Wladimir; Linton, Oliver; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015425566

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ETF (mis)pricing

Kirilenko, Andrei; Kraus, Wladimir; Linton, Oliver; … - 2025

Book / Working Paper

Passive investing and the rise of mega-firms

Jiang, Hao; Vayanos, Dimitri; Lu, Zheng - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015614284

Performance of energy ETFs and climate risks

Minh Nhat Nguyen; Liu, Ruipeng; Li, Youwei - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015550265

The reaction of cryptocurrencies to the approval of spot Bitcoin and Ethereum ETFs : an intraday event study

Mehdian, Seyed M.; Gherghina, Ştefan Cristian; Stoica, … - 2025

This paper examines the market reaction to the approval of spot Bitcoin and Ethereum exchange-traded funds (ETFs), focusing on the return dynamics of a functionally diverse types of leading cryptocurrencies, including coins (BTC, BCH, LTC, XRP), smart contract platforms (ETH, ADA, AVAX), and...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015551456

Exchange-traded funds (etfs) optimization with risk parity strategies

Veliu, Denis - 2025

This paper explores the application of the Risk Parity methodology to portfolios constructed using Exchange-Traded Funds (ETFs). In the world where the market is becoming more and more global, it is becoming more dynamic in terms of portoflio recalibrations, bringing resilience in terms of...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015557532

ETF construction on CRIX

Häusler, Konstantin; Härdle, Wolfgang - 2025

We construct an exchange-traded fund (ETF) based on the CRyptocurrency IndeX (CRIX), which closely maps nonstationary cryptocurrency (CC) dynamics by adapting the weights of its constituents dynamically. Our scenario analysis considers the fee schedules of regulated CC exchanges, spreads...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015557882

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ETF Construction on CRIX

Häusler, Konstantin - 2022

Book / Working Paper

The dynamics of frequency connectedness between technology ETFs and uncertainty indices under extreme market conditions

Ozcelebi, Oguzhan; McIver, Ron; Kang, Sang Hoon - 2025

We examine technology ETF and uncertainty index (VIX, GVZ, and OVZ) spillover dynamics and quantile frequency interconnectedness across market states. This study is the first to use quantile-frequency spillover, quadruple wavelet coherence, and wavelet quantile correlation methodologies to...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015557924

Do bitcoin ETFs lead price discovery following their introduction in the bitcoin market?

Mohamad, Azhar - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015590845

Global arbitrage under settlement cycle mismatch

Chau, Yuet Ning - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015606803

ETFs as a disciplinary device

Chau, Yuet; Todorov, Karamfil; Yegen, Eyub - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015416186

Do ETFs increase the comovements of their underlying assets? : evidence from a switch in ETF replication technique

Marta, Thomas; Riva, Fabrice - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015558463

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Do ETFs Increase the Comovements of Their Underlying Assets? Evidence from a Switch in ETF Replication Technique

Marta, Thomas; Riva, Fabrice - 2022

Book / Working Paper

All that glitters : a theory of multiple bubbles with implications for cryptocurrencies

Han, Jungsuk; Wang, Yenan - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015560890

Navigating the green transition : the influence of energy volatility on green and sustainable ETFs

Conlon, Thomas; Corbet, Shaen; Hou, Yang - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015508887

Presidential partisanship and sectoral ETF performance in U.S. equity markets

Wang, Xiaoli; Guo, Claire - 2025

This study investigates how U.S. presidential political leadership affects financial market performance at the sector level, offering a novel contribution to the literature that has largely focused on aggregate market indices. While prior research documents partisan effects on overall stock...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015515209

Bank of Japan's ETF purchase program and equity risk premium : a CAPM interpretation

Katagiri, Mitsuru; Shino, Junnosuke; Takahashi, Koji - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015402260

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Bank of Japan's ETF purchase program and equity risk premium : a CAPM interpretation

Katagiri, Mitsuru; Shino, Junnosuke; Takahashi, Koji - 2022

Book / Working Paper

ETF ownership and seasoned equity offerings

Evans, Kevin P.; Leung, Woon Sau; Li, Junqiu; Mazouz, … - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015055432

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ETF Ownership and Seasoned Equity Offerings

Evans, Kevin P.; Leung, Woon Sau; Li, Junqiu; Mazouz, … - 2023

Book / Working Paper

Diversification and idiosyncratic volatility puzzle : evidence from ETFs

Duanmu, Jun; Hur, Jungshik; Li, Yongjia - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015062053

Assessing the circular economy funds : performance, fees, risks, and sustainability

Fang, Fei; Parida, Sitikantha - 2024

We studied various fund investing options in the circular economy sector. We found that most circular economy mutual funds and exchange-traded funds charge higher fees and take higher risks than their benchmarks. However, they appear to have underperformed their benchmarks during their short...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014636310