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Do leveraged/inverse ETFs wag the underlying market? Evidence from the Korean stock market

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dc.contributor.authorLee, K.-
dc.contributor.authorKim, S.-H.-
dc.date.available2019-03-13T01:14:21Z-
dc.date.created2018-12-18-
dc.date.issued2018-12-
dc.identifier.issn0018-280X-
dc.identifier.urihttp://scholarworks.bwise.kr/ssu/handle/2018.sw.ssu/30963-
dc.description.abstractThis paper addresses the question of whether leveraged and inverse exchange-traded funds (ETFs) affect the underlying market. The Korean markets provide a unique context to address the question in that (i) the ETFs contain only stocks and futures, and (ii) the futures markets close 15 minutes later than the stock markets. Although the Hasbrouck information shares do not indicate any dominant price discovery effect between the leveraged/inverse ETFs and the underlying stock market based on daily close-to-close returns, we find evidence that ETF managers? rebalancing activities have a significant impact on the daily close-to-open returns of the underlying stock market. © Hitotsubashi University.-
dc.language영어-
dc.language.isoen-
dc.publisherHitotsubashi University-
dc.relation.isPartOfHitotsubashi Journal of Economics-
dc.titleDo leveraged/inverse ETFs wag the underlying market? Evidence from the Korean stock market-
dc.typeArticle-
dc.identifier.doi10.15057/29713-
dc.type.rimsART-
dc.identifier.bibliographicCitationHitotsubashi Journal of Economics, v.59, no.2, pp.83 - 94-
dc.description.journalClass1-
dc.identifier.wosid000454472800003-
dc.identifier.scopusid2-s2.0-85057828801-
dc.citation.endPage94-
dc.citation.number2-
dc.citation.startPage83-
dc.citation.titleHitotsubashi Journal of Economics-
dc.citation.volume59-
dc.contributor.affiliatedAuthorKim, S.-H.-
dc.identifier.urlhttps://hermes-ir.lib.hit-u.ac.jp/rs/bitstream/10086/29713/1/HJeco0590200830.pdf-
dc.type.docTypeArticle-
dc.description.isOpenAccessN-
dc.subject.keywordAuthorETF-
dc.subject.keywordAuthorInformation share-
dc.subject.keywordAuthorMarket impact-
dc.subject.keywordAuthorPrice discovery-
dc.description.journalRegisteredClassssci-
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