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Financial Stability and Actively Traded Exchange-Traded Funds
Title data
Baumann, Michael Heinrich ; Baumann, Michaela ; Herz, Bernhard:
Financial Stability and Actively Traded Exchange-Traded Funds.
2022
Event: 26th Annual International Conference on Macroeconomic Analysis and International Finance (ICMAIF)
, 26-28 May 2022
, University of Crete, Rethymno, Greece.
(Conference item: Conference
,
Speech
)
Abstract in another language
Exchange Traded Funds (ETFs) have seen spectacular growth over the recent decades. Although mainly perceived as passive investment vehicles, they are also used in active investment strategies. We investigate the financial market effects of ETFs in a heterogeneous agent model which is calibrated to historical data. We consider four trader types, namely fundamentalists and trend followers who either trade ETFs or the underlying individual stocks. The complex interactions of investment strategies and the availability of ETFs generate interesting nonlinearities for typical market metrics such as volatility, price correlations, mispricing, and bubbles. Our key findings are that the impact of the shares of ETF traders and of chartists on the market metrics is non-linear, esp. the influence of ETF usage on the correlation of stock prices and their fundamentals as well as on the likelihood of bubbles is hill-shaped.
Further data
Item Type: |
Conference item
(Speech)
|
Refereed: |
Yes |
Keywords: |
Exchange-traded Funds; ETF; Index Fund; Financial Stability; Trading Behavior; Heterogeneous Agent Model; Agent-based Model; Passive Investment
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Subject classification: |
JEL codes C63, D01, G10, G11, G40
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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 - International Economics and Finance > Chair Economics I - International Economics and Finance - 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 - International Economics and Finance 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: |
09 Aug 2022 06:51 |
Last Modified: |
09 Aug 2022 06:51 |
URI: |
https://eref.uni-bayreuth.de/id/eprint/71427 |
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