ETF 套利和国际多样化

IF 3.6 2区 经济学 Q1 BUSINESS, FINANCE
Ilias Filippou , Arie Gozluklu , Hari Rozental
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引用次数: 0

摘要

我们的研究表明,以ETF市场订单失衡衡量的国家ETF市场参与者的投资决策是由全球冲击而非本地风险驱动的。我们认为,ETF 价格发现机制是全球冲击传播到地方经济的主要渠道之一,导致与美国市场的回报相关性增加,并限制了国际多样化的好处。ETF 订单失衡可预测相关的 MSCI 指数回报。国家 ETF 的交错引入改变了相关外国和美国市场指数之间的回报相关性。我们发现,ETF 价格发现能力较强的国家与美国市场的相关性较高,这进一步支持了所提出的机制。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
ETF arbitrage and international diversification

We show that investment decisions of country ETF market participants measured by ETF market order imbalances are driven by global shocks rather than local risks. We argue that the ETF price discovery mechanism is one of the key channels through which global shocks propagate to local economies, leading to increased return correlation with the U.S. market and limiting the benefits of international diversification. ETF order imbalance is predictive of the underlying MSCI index returns. The staggered introduction of country ETFs alters return correlations between underlying foreign and U.S. market indices. We find that countries with stronger ETF price discovery have higher comovement with the U.S. market lending further support for the proposed mechanism.

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来源期刊
CiteScore
6.40
自引率
5.40%
发文量
262
期刊介绍: The Journal of Banking and Finance (JBF) publishes theoretical and empirical research papers spanning all the major research fields in finance and banking. The aim of the Journal of Banking and Finance is to provide an outlet for the increasing flow of scholarly research concerning financial institutions and the money and capital markets within which they function. The Journal''s emphasis is on theoretical developments and their implementation, empirical, applied, and policy-oriented research in banking and other domestic and international financial institutions and markets. The Journal''s purpose is to improve communications between, and within, the academic and other research communities and policymakers and operational decision makers at financial institutions - private and public, national and international, and their regulators. The Journal is one of the largest Finance journals, with approximately 1500 new submissions per year, mainly in the following areas: Asset Management; Asset Pricing; Banking (Efficiency, Regulation, Risk Management, Solvency); Behavioural Finance; Capital Structure; Corporate Finance; Corporate Governance; Derivative Pricing and Hedging; Distribution Forecasting with Financial Applications; Entrepreneurial Finance; Empirical Finance; Financial Economics; Financial Markets (Alternative, Bonds, Currency, Commodity, Derivatives, Equity, Energy, Real Estate); FinTech; Fund Management; General Equilibrium Models; High-Frequency Trading; Intermediation; International Finance; Hedge Funds; Investments; Liquidity; Market Efficiency; Market Microstructure; Mergers and Acquisitions; Networks; Performance Analysis; Political Risk; Portfolio Optimization; Regulation of Financial Markets and Institutions; Risk Management and Analysis; Systemic Risk; Term Structure Models; Venture Capital.
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