Financial innovation in the uranium mining sector: analysis of an exchange-traded fund and its impact on trading characteristics of uranium stocks

IF 1.1 Q3 BUSINESS, FINANCE

Journal of Accounting Literature Pub Date : 2023-04-25 DOI:10.1108/jal-03-2023-0038

James Bentley, Zhangxin (Frank) Liu

{"title":"Financial innovation in the uranium mining sector: analysis of an exchange-traded fund and its impact on trading characteristics of uranium stocks","authors":"James Bentley, Zhangxin (Frank) Liu","doi":"10.1108/jal-03-2023-0038","DOIUrl":null,"url":null,"abstract":"Purpose The purpose of this study is to examine the impact of a recent innovation in the uranium market, the Global X Uranium Exchange-Traded Fund (URA), on the trading characteristics of constituent and non-constituent stocks. Design/methodology/approach The authors analyse bid-ask spread measures, relative effective spreads and adverse selection costs to assess changes in information asymmetry among uranium stocks. The authors also study abnormal returns to assess the impact of URA on the market. Findings Over a three-month period, following the introduction of URA, the authors find uranium stocks display decreased bid-ask spread measures, driven by reductions in information asymmetry. Relative effective spreads decrease by 36% after the introduction of URA, and adverse selection costs decline by 24% over the same period. Uranium stocks experience a significant positive abnormal return of 5.0% the day after the introduction of URA with subsequent price reversals. These suggest that the introduction of URA prompted uninformed traders to rebalance portfolios and migrate to the less information-sensitive Exchange-Traded Fund (ETF), causing temporary deviations in trading characteristics. Originality/value The authors demonstrate that the introduction of new financial securities to the market can have a significant impact on the trading characteristics of related equities. As URA is the only ETF in the uranium sector, the authors thereby avoid the influence of multiple ETFs that may have impacted previous studies.","PeriodicalId":45666,"journal":{"name":"Journal of Accounting Literature","volume":null,"pages":null},"PeriodicalIF":1.1000,"publicationDate":"2023-04-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Accounting Literature","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1108/jal-03-2023-0038","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

Abstract

Purpose The purpose of this study is to examine the impact of a recent innovation in the uranium market, the Global X Uranium Exchange-Traded Fund (URA), on the trading characteristics of constituent and non-constituent stocks. Design/methodology/approach The authors analyse bid-ask spread measures, relative effective spreads and adverse selection costs to assess changes in information asymmetry among uranium stocks. The authors also study abnormal returns to assess the impact of URA on the market. Findings Over a three-month period, following the introduction of URA, the authors find uranium stocks display decreased bid-ask spread measures, driven by reductions in information asymmetry. Relative effective spreads decrease by 36% after the introduction of URA, and adverse selection costs decline by 24% over the same period. Uranium stocks experience a significant positive abnormal return of 5.0% the day after the introduction of URA with subsequent price reversals. These suggest that the introduction of URA prompted uninformed traders to rebalance portfolios and migrate to the less information-sensitive Exchange-Traded Fund (ETF), causing temporary deviations in trading characteristics. Originality/value The authors demonstrate that the introduction of new financial securities to the market can have a significant impact on the trading characteristics of related equities. As URA is the only ETF in the uranium sector, the authors thereby avoid the influence of multiple ETFs that may have impacted previous studies.

查看原文本刊更多论文

铀矿行业的金融创新:交易所交易基金分析及其对铀矿股交易特征的影响

本研究的目的是检验铀市场最近的一项创新，即全球X铀交易所交易基金(URA)对成分股和非成分股交易特征的影响。设计/方法/方法作者分析了买卖价差措施、相对有效价差和逆向选择成本，以评估铀股信息不对称的变化。作者还研究了异常收益，以评估市建局对市场的影响。在引入URA之后的三个月里，作者发现，由于信息不对称的减少，铀库存的买卖价差指标有所下降。引入市建局后，相对有效价差下降36%，逆向选择成本同期下降24%。铀股在引入URA后的第二天经历了5.0%的显著正异常回报，随后价格逆转。这表明，市建局的引入促使不知情的交易者重新平衡投资组合，并转向信息敏感度较低的交易所买卖基金(ETF)，导致交易特征出现暂时偏差。原创性/价值作者证明，向市场引入新的金融证券可以对相关股票的交易特征产生重大影响。由于URA是铀行业唯一的ETF，因此作者避免了可能影响先前研究的多个ETF的影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Journal of Accounting Literature BUSINESS, FINANCE-

CiteScore

6.50

自引率

0.00%

发文量

期刊介绍： The objective of the Journal is to publish papers that make a fundamental and substantial contribution to the understanding of accounting phenomena. To this end, the Journal intends to publish papers that (1) synthesize an area of research in a concise and rigorous manner to assist academics and others to gain knowledge and appreciation of diverse research areas or (2) present high quality, multi-method, original research on a broad range of topics relevant to accounting, auditing and taxation. Topical coverage is broad and inclusive covering virtually all aspects of accounting. Consistent with the historical mission of the Journal, it is expected that the lead article of each issue will be a synthesis article on an important research topic. Other manuscripts to be included in a given issue will be a mix of synthesis and original research papers. In addition to traditional research topics and methods, we actively solicit manuscripts of the including, but not limited to, the following: • meta-analyses • field studies • critiques of papers published in other journals • emerging developments in accounting theory • commentaries on current issues • innovative experimental research with strong grounding in cognitive, social or anthropological sciences • creative archival analyses using non-standard methodologies or data sources with strong grounding in various social sciences • book reviews • "idea" papers that don''t fit into other established categories.