The nonlinear price dynamics of US equity ETFs

被引：14

作者：

Caginalp, Gunduz ^{[1
]}

DeSantis, Mark ^{[2
]}

Sayrak, Akin ^{[1
]}

机构：

[1] Univ Pittsburgh, Pittsburgh, PA 15260 USA

[2] Chapman Univ, Orange, CA USA

来源：

JOURNAL OF ECONOMETRICS | 2014年 / 183卷 / 02期

关键词：

Exchange-traded funds; Momentum; Volatility; Nonlinear dynamics; ASSET MARKETS; MOMENTUM; OVERREACTION; RETURNS; MODEL; FLOW;

D O I：

10.1016/j.jeconom.2014.05.009

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We investigate the price dynamics of large market-capitalization U.S. equity exchange-traded funds (ETFs) in order to uncover trader motivations and strategy. We show that prices of highly liquid ETFs can deviate significantly from their daily net asset values. By adjusting for changes in valuations, we report the impact of non-classical variables including price trend and volatility using data from 2008 to 2011. We find a cubic nonlinearity in the trend suggesting that traders are not only aware of the underreaction of others, but also self-optimize by anticipating others' reactions, and sell when the uptrend is stronger than usual. (C) 2014 Gunduz Caginalp, Mark DeSantis and Akin Sayrak. Published by Elsevier B.V. All rights reserved.

引用

页码：193 / 201

页数：9

共 31 条

[1]

Anderson S C., 2002, Closed-End Fund Pricing: Theories and Evidence

[2] Market Dynamics and Momentum Profits [J].