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Do exchange-traded fund flows increase the volatility of the underlying index? Evidence from the emerging market in China

  • Published:2019-01-10 Issue:5 Volume:58 Page:1525-1548
  • ISSN:0810-5391
  • Container-title:Accounting & Finance
  • language:en
  • Short-container-title:Account Finance

Author:

Wang Hua1ORCID,Xu Liao2ORCID

Affiliation:

1. School of Accounting; Zhongnan University of Economics and Law; Wuhan China

2. Business School; East China University of Political Science and Law; Shanghai China

Publisher

Wiley

Subject

Economics, Econometrics and Finance (miscellaneous),Finance,Accounting

Reference39 articles.

1. Illiquidity and stock returns: cross-section and time-series effects;Amihud;Journal of Financial Markets,2002

2. Price discovery and common factor models;Baillie;Journal of Financial Markets,2002

3. Do ETFs increase volatility?;Ben-David;The Journal of Finance,2017

4. A new approach to the decomposition of economic time series into permanent and transitory components with particular attention to the measurement of the ‘business cycle’;Beveridge;Journal of Monetary Economics,1981

5. Institutional investors and the informational efficiency of prices;Boehmer;Review of Financial Studies,2009

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