Literature by the same author
plus at Google Scholar

Bibliografische Daten exportieren
 

Exchange-traded Funds and Financial Stability

Title data

Baumann, Michael Heinrich ; Baumann, Michaela ; Herz, Bernhard:
Exchange-traded Funds and Financial Stability.
2017
Event: 21st Annual International Conference on Macroeconomic Analysis and International Finance (ICMAIF) 2017 , 25.-27.05.2017 , Rethymno, Crete, Greece.
(Conference item: Conference , Speech )

This is the latest version of this item.

Official URL: Volltext

Related URLs

Project information

Project title:
Project's official title
Project's id
Promotionsstipendium
No information

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 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; financial stability; volatility
Subject classification: JEL classification codes: C63, G01, G10, G11
Institutions of the University: Faculties
Faculties > Faculty of Mathematics, Physics und Computer Science
Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics
Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics > Chair Mathematics V (Applied Mathematics)
Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Computer Science > Chair Applied Computer Science IV
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 - International Economics and Finance
Faculties > Faculty of Law, Business and Economics > Department of Economics > Chair Economics I - International Economics and Finance > Chair Economics I - International Economics and Finance - Univ.-Prof. Dr. Bernhard Herz
Profile Fields
Profile Fields > Advanced Fields
Profile Fields > Advanced Fields > Nonlinear Dynamics
Research Institutions > Research Centres > Forschungszentrum für Modellbildung und Simulation (MODUS)
Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Computer Science
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 Jun 2017 08:43
Last Modified: 08 Jun 2017 08:43
URI: https://eref.uni-bayreuth.de/id/eprint/37444

Available Versions of this Item