Premiums, Discounts and Feedback Trading: Evidence from Emerging Markets’ ETFs

Charteris, A.; Chau, F.; Gavriilidis, K.; Kallinterakis, V.

doi:10.1016/j.irfa.2014.07.010

Premiums, Discounts and Feedback Trading: Evidence from Emerging Markets’ ETFs

Charteris, A.; Chau, F.; Gavriilidis, K.; Kallinterakis, V.

Authors

A. Charteris

Dr Frankie Chau h.c.f.chau@durham.ac.uk
Associate Professor

K. Gavriilidis

Dr Vasileios Kallinterakis vasileios.kallinterakis@durham.ac.uk
Associate Professor

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.

Citation

Charteris, A., Chau, F., Gavriilidis, K., & Kallinterakis, V. (2014). Premiums, Discounts and Feedback Trading: Evidence from Emerging Markets’ ETFs. International Review of Financial Analysis, 35, 80-89. https://doi.org/10.1016/j.irfa.2014.07.010

Journal Article Type	Article
Acceptance Date	Jul 28, 2014
Online Publication Date	Aug 8, 2014
Publication Date	Oct 1, 2014
Deposit Date	Aug 14, 2014
Publicly Available Date	Aug 14, 2014
Journal	International Review of Financial Analysis
Print ISSN	1057-5219
Electronic ISSN	1873-8079
Publisher	Elsevier
Peer Reviewed	Peer Reviewed
Volume	35
Pages	80-89
DOI	https://doi.org/10.1016/j.irfa.2014.07.010
Keywords	Feedback trading, Exchange-traded funds, Emerging markets.
Public URL	https://durham-repository.worktribe.com/output/1455476

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Copyright Statement
NOTICE: this is the author’s version of a work that was accepted for publication in International Review of Financial Analysis. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in International Review of Financial Analysis, 35, October 2014, 10.1016/j.irfa.2014.07.010.