Recent developments in exchange‐traded fund literature: Pricing efficiency, tracking ability, and effects on underlying securities
N Charupat, P Miu - Managerial Finance, 2013 - emerald.com
Purpose–The purpose of this paper is to provide a brief review of three strands of the
literature on exchange‐traded funds. Design/methodology/approach–The paper starts with a …
literature on exchange‐traded funds. Design/methodology/approach–The paper starts with a …
Thirty years of the Global Finance Journal: A bibliometric analysis
Abstract In 1989, Global Finance Journal (GFJ) started publishing articles examining
financial topics from a global perspective. In 2018, the journal celebrated its 30th …
financial topics from a global perspective. In 2018, the journal celebrated its 30th …
Return and volatility spillovers in equity markets: An investigation using various GARCH methodologies
This paper investigates linkages among equity market returns and volatility spillovers in the
following countries: Germany, United Kingdom, China, Russia, and Turkey. MARMA …
following countries: Germany, United Kingdom, China, Russia, and Turkey. MARMA …
[HTML][HTML] Time-varying price dynamics of clean and dirty energy portfolios
This paper investigates the dynamic relationships between four key instruments related to
clean and dirty energy assets: WTI futures, United States Oil Fund (USO), EnergySelect …
clean and dirty energy assets: WTI futures, United States Oil Fund (USO), EnergySelect …
Country ETF returns and volatility spillovers in emerging stock markets, Europe and USA
Purpose The purpose of this paper is to investigate the linkages among equity exchange
traded funds (ETF) returns and transmission of volatilities of the USA, Europe and key …
traded funds (ETF) returns and transmission of volatilities of the USA, Europe and key …
Trading in fragmented markets
We study fragmentation of equity trading using a model of imperfect competition among
exchanges. In the model, increased competition drives down trading fees. However …
exchanges. In the model, increased competition drives down trading fees. However …
An investigation of return and volatility linkages among equity markets: A study of selected European and emerging countries
This paper investigates the linkages among equity returns (based on exchange traded
funds, ETF) and transmission of volatilities in the following countries: Germany, Austria …
funds, ETF) and transmission of volatilities in the following countries: Germany, Austria …
Overreaction of country ETFs to US market returns: Intraday vs. daily horizons and the role of synchronized trading
A Levy, O Lieberman - Journal of Banking & Finance, 2013 - Elsevier
In this paper we study the intraday price formation process of country Exchange Traded
Funds (ETFs). We identify specific parts of the US trading day during which Net Asset Values …
Funds (ETFs). We identify specific parts of the US trading day during which Net Asset Values …
The rise of passive investing: a systematic literature review applying PRISMA framework
P Malhotra - Journal of Capital Markets Studies, 2024 - emerald.com
Purpose Passive investing has established itself as the dominant force in the world of
professionally managed assets, surpassing the concept of index funds. Its meteoric rise is …
professionally managed assets, surpassing the concept of index funds. Its meteoric rise is …
Tracking errors of exchange traded funds
WF Johnson - Journal of Asset Management, 2009 - Springer
This article constitutes a comprehensive study of 20 foreign country exchange traded funds
(ETFs) and the underlying index returns from 1997 to 2006. The purpose of the study is to …
(ETFs) and the underlying index returns from 1997 to 2006. The purpose of the study is to …