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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.
2017
Event: International Rome Conference on Money, Banking and Finance (MBF) , 14-15-16 December 2017 , LUMSA University Palermo, Italy.
(Conference item: Conference , Speech )

Official URL: Volltext

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Project information

Project financing: Bundesministerium für Bildung und Forschung
Hanns-Seidel-Stiftung
The work of Michael H. Baumann is supported by a scholarship of Hanns-Seidel-Stiftung e.V. (HSS), funded by Bundesministerium für Bildung und Forschung (BMBF).

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 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.

Further data

Item Type: Conference item (Speech)
Refereed: Yes
Keywords: Exchange-traded index funds; ETF; index fund; heterogeneous agent model; bubbles
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: 08 May 2018 12:28
Last Modified: 08 May 2018 12:28
URI: https://eref.uni-bayreuth.de/id/eprint/44036