Exchange-traded Funds and Financial Stability

Title data

Baumann, Michael Heinrich ; Baumann, Michaela ; Herz, Bernhard:
Exchange-traded Funds and Financial Stability.
2017
Event: The Sixteenth Annual European Economics and Finance Society Conference 2017 , 22.06.2017-25.06.2017 , University of Ljubljana, Ljubljana, Slovenia.
(Conference item: Conference , Speech )

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Project's official title	Project's id
Promotionsstipendium	No information

Project financing:

Bundesministerium für Bildung und Forschung
Hanns-Seidel-Stiftung

Abstract in another language

Exchange-traded Funds (ETFs) are easy to understand, cost-efficient ways of investing in asset market indices that have become very popular for both retail and institutional investors. Investing in an index of assets via an ETF can generate quite complex and sometimes counterintuitive investment behaviors on the level of individual assets. These dynamics depend among others on the kind of market index, the types of traders in the market, price trends in individual stocks and the overall market as well as situations of over- or undervaluation of individual stocks and the index. Based on a heterogeneous agents model we find that the presence of ETF chartists counterintuitively lowers the likelihood of price bubbles in individual asset markets while at the same time weakening financial stability as measured by asset price volatility and excess kurtosis.

Further data

Item Type:	Conference item (Speech)
Refereed:	Yes
Keywords:	exchange-traded index funds; ETF; index fund; heterogeneous agent model; bubbles; financial stability; volatility
Subject classification:	JEL classification codes: D47, G01, G10, G11
Institutions of the University:	Faculties Faculties > Faculty of Mathematics, Physics und Computer Science Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics > Chair Mathematics V (Applied Mathematics) Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Computer Science > Chair Applied Computer Science IV Faculties > Faculty of Law, Business and Economics Faculties > Faculty of Law, Business and Economics > Department of Economics Faculties > Faculty of Law, Business and Economics > Department of Economics > Chair Economics I - International Economics and Finance Faculties > Faculty of Law, Business and Economics > Department of Economics > Chair Economics I - International Economics and Finance > Chair Economics I - International Economics and Finance - Univ.-Prof. Dr. Bernhard Herz Profile Fields Profile Fields > Advanced Fields Profile Fields > Advanced Fields > Nonlinear Dynamics Research Institutions > Research Centres > Forschungszentrum für Modellbildung und Simulation (MODUS) Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Computer Science Research Institutions Research Institutions > Research Centres
Result of work at the UBT:	Yes
DDC Subjects:	300 Social sciences > 330 Economics 500 Science > 510 Mathematics
Date Deposited:	04 Jul 2017 12:08
Last Modified:	23 Mar 2021 09:12
URI:	https://eref.uni-bayreuth.de/id/eprint/38346

Available Versions of this Item

Exchange-traded Funds and Financial Stability. (deposited 04 Jul 2017 12:07)
- Exchange-traded Funds and Financial Stability. (deposited 04 Jul 2017 12:08)
  - Exchange-traded Funds and Financial Stability. (deposited 04 Jul 2017 12:08) [Currently Displayed]