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Premiums, discounts and feedback trading: Evidence from emerging markets' ETFs

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  • Charteris, Ailie
  • Chau, Frankie
  • Gavriilidis, Konstantinos
  • Kallinterakis, Vasileios

Abstract

This study investigates the extent to which ETFs' premiums and discounts motivate feedback trading in emerging markets' ETFs. Using a sample of the first-ever launched broad-index ETFs from four emerging markets (Brazil, India, South Africa and South Korea), we produce evidence denoting that feedback trading grows in significance in the presence of lagged premiums. The significance of feedback trading becomes more widespread across our sample's ETFs as the lagged premiums grow in magnitude, with evidence also suggesting that the effect of lagged premiums over feedback trading varies prior to and after the outbreak of the recent global financial crisis.

Suggested Citation

  • Charteris, Ailie & Chau, Frankie & Gavriilidis, Konstantinos & Kallinterakis, Vasileios, 2014. "Premiums, discounts and feedback trading: Evidence from emerging markets' ETFs," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 80-89.
  • Handle: RePEc:eee:finana:v:35:y:2014:i:c:p:80-89
    DOI: 10.1016/j.irfa.2014.07.010
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    References listed on IDEAS

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    1. repec:eee:riibaf:v:42:y:2017:i:c:p:1289-1297 is not listed on IDEAS
    2. repec:eee:intfin:v:53:y:2018:i:c:p:179-199 is not listed on IDEAS

    More about this item

    Keywords

    Feedback trading; Exchange-traded funds; Emerging markets;

    JEL classification:

    • G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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