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Baumann, Michael Heinrich ; Baumann, Michaela ; Herz, Bernhard:
Exchange-traded Funds and Financial Stability.
2017
Veranstaltung: Summer School in Economics and Finance SSEF Canazei 2017
, July 17-21, 2017
, Alba di Canazei, Trento, Italy.
(Veranstaltungsbeitrag: Sonstige
Veranstaltungsart,
Vortrag
)
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Angaben zu Projekten
| Projekttitel: |
Offizieller Projekttitel Projekt-ID Promotionsstipendium Ohne Angabe |
|---|---|
| Projektfinanzierung: |
Bundesministerium für Bildung und Forschung Hanns-Seidel-Stiftung |
Abstract
Exchange-traded Funds (ETFs) are easy to understand, cost-efficient ways of investing in asset markets 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 agent 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.