Differently motivated exchange traded fund trading activities and the volatility of the underlying index-Reference-Cited by-同舟云学术

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Differently motivated exchange traded fund trading activities and the volatility of the underlying index

Published:2018-10-14 Issue:S1 Volume:59 Page:859-886
ISSN:0810-5391
Container-title:Accounting & Finance
language:en
Short-container-title:Account Finance

Author:

Xu Liao¹^ORCID,Yin Xiangkang²^ORCID,Zhao Jing³

Affiliation:

1. International Institute for Financial Studies Jiangxi University of Finance and Economics Nanchang China

2. Department of Finance Deakin University Melbourne VICAustralia

3. Department of Economics and Finance La Trobe University Melbourne VIC Australia

Funder

Australian Research Council

Publisher

Wiley

Subject

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

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/acfi.12407

Reference53 articles.

1. Marketwide Private Information in Stocks: Forecasting Currency Returns

2. Illiquidity and stock returns: cross-section and time-series effects

3. Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility

4. Do ETFs increase volatility?;Ben‐David I.;Journal of Finance,2017

5. Injecting liquidity into liquidity research

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2. The Impact of the COVID-19 Pandemic on the Stock Market Returns: Evidence from the Chinese Stock Market;Proceedings of the 2023 6th International Conference on Computers in Management and Business;2023-01-13

3. ETFs, arbitrage activity, and stock market efficiency: Evidence from Chinese CSI 300 ETFs;Economic Analysis and Policy;2022-03

4. Stock market liquidity and traditional sources of bank business;Accounting & Finance;2021-11-24

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