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Are ETFs Bad for Financial Health? : Some Counterintuitive Examples

Title data

Baumann, Michael Heinrich ; Baumann, Michaela ; Herz, Bernhard:
Are ETFs Bad for Financial Health? : Some Counterintuitive Examples.
Bayreuth , 2018 . - 26 p.

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Official URL: Volltext

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PromotionsstipendiumNo information

Project financing: Bundesministerium für Bildung und Forschung

Abstract in another language

Exchange-traded Funds (ETFs) are easy to understand, cost-efficient, and liquid investment vehicles based on market indices that have become very popular for both institutional and retail investors. The dynamics of the index and its underlying assets are closely interlinked based on the rebalancing effect and depend among others on the different types of traders in the market, price trends in individual stocks and the overall market, as well as over- or undervaluation of individual stocks and the index. Investing in an index of assets via an ETF can generate quite complex and sometimes counterintuitive investment behaviors on the level of individual assets. Seemingly stabilizing investment strategies, such as a fundamentalist approach, on the level of the ETF might actually lead to destabilizing effects on the level of individual stocks.

Further data

Item Type: Preprint, postprint, working paper, discussion paper
Keywords: Exchange-traded Funds; ETF; index fund; financial stability; trading behavior
Subject classification: JEL classification codes: D01, 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: 13 Feb 2019 10:47
Last Modified: 14 Mar 2019 13:48
URI: https://eref.uni-bayreuth.de/id/eprint/47308

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