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
)
This is the latest version of this item.
Project information
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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
Available Versions of this Item
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Exchange-traded Funds and Financial Stability. (deposited 04 Jul 2017 12:07)
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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]
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Exchange-traded Funds and Financial Stability. (deposited 04 Jul 2017 12:08)