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Exchange-traded Funds and Financial Stability

Title data

Baumann, Michael Heinrich ; Baumann, Michaela ; Herz, Bernhard:
Exchange-traded Funds and Financial Stability.
Bayreuth , 2017 . - 40 p.

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Abstract in another language

Exchange-traded Funds (ETFs) are easy to understand, cost-efficient ways of investing in asset markets that have become very popular for both institutional and retail 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 shares of different 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 reproduce several stylized facts concerning ETFs. We find that the the availability of ETFs per se affects financial stability much less than the role of increased trading, for example, caused by lower assumed risk.

Further data

Item Type: Preprint, postprint, working paper, discussion paper
Additional notes: work in progress
Keywords: Exchange-traded index funds; ETF; index fund; heterogeneous agent model; bubbles; financial stability; volatility
Subject classification: JEL classification codes: C63, G01, G10, G11
Institutions of the University: Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics > Chair Mathematics V (Applied Mathematics)
Faculties > Faculty of Law, Business and Economics > Department of Economics > Chair Economics I > Chair Economics I - Univ.-Prof. Dr. Bernhard Herz
Profile Fields > Advanced Fields > Nonlinear Dynamics
Research Institutions > Research Centres > Forschungszentrum für Modellbildung und Simulation (MODUS)
Faculties
Faculties > Faculty of Mathematics, Physics und Computer Science
Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics
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
Profile Fields
Profile Fields > Advanced Fields
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: 18 Dec 2017 13:05
Last Modified: 20 Aug 2018 07:13
URI: https://eref.uni-bayreuth.de/id/eprint/41056

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