Xu, L., Gao, H., Shi, Y. and Zhao, Y. (2020) The heterogeneous volume-volatility relations in the exchange-traded fund market: evidence from China. Economic Modelling, 85, pp. 400-408. (doi: 10.1016/j.econmod.2019.11.019)
Full text not currently available from Enlighten.
Abstract
We decompose the trading volume of exchange-traded funds (ETFs) into specific components according to different triggers of trades: (i) private information, (ii) disagreement among investors due to their different opinions on public information or having different information, and (iii) investor impatience. Then we examine the particular impact of each type of ETF trade on the market volatility of the tracked index. Focusing on the three ETFs tracking the CSI 300, we show that ETF trades stemming from investor disagreement are a key determinant of CSI 300 volatility, dominating other factors considered. Liquidity ETF trades can partially explain CSI 300 volatility. However, little evidence supports a significant correlation between privately informed trades of ETFs and CSI 300 volatility.
Item Type: | Articles |
---|---|
Additional Information: | Yang Zhao specially acknowledges the financial support from the National Natural Science Foundation of China (Grant No. 71801117). |
Status: | Published |
Refereed: | Yes |
Glasgow Author(s) Enlighten ID: | Shi, Dr Yukun |
Authors: | Xu, L., Gao, H., Shi, Y., and Zhao, Y. |
College/School: | College of Social Sciences > Adam Smith Business School > Accounting and Finance |
Journal Name: | Economic Modelling |
Publisher: | Elsevier |
ISSN: | 0264-9993 |
ISSN (Online): | 1873-6122 |
Published Online: | 25 November 2019 |
University Staff: Request a correction | Enlighten Editors: Update this record