Differently motivated exchange traded fund trading activities and the volatility of the underlying index
journal contribution
posted on 2019-04-01, 00:00 authored by L Xu, Xiangkang YinXiangkang Yin, J ZhaoDifferently motivated exchange traded fund trading activities and the volatility of the underlying index
History
Journal
Accounting and FinanceVolume
59Season
Special Issue: Fund ManagementPagination
859-886Location
Chichester, Eng.Open access
- Yes
Link to full text
ISSN
0810-5391eISSN
1467-629XLanguage
EnglishPublication classification
C Journal article, C1 Refereed article in a scholarly journalCopyright notice
2018, Accounting and Finance Association of Australia and New ZealandIssue
S1Publisher
WILEYUsage metrics
Categories
Keywords
Social SciencesBusiness, FinanceBusiness & EconomicsExchange traded fundIndex return volatilityEfficient pricePrivate informationInvestor disagreementInformation-based tradingCROSS-SECTIONTIME-SERIESINFORMATIONLIQUIDITYMARKETSTOCKSECURITYRETURNSPERSISTENCEPRICEDepartment of Finance3502 Banking, finance and investment
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