In the present paper we analyze the relationship between index funds and asset prices. In particular, our analysis of daily index fund flows indicates a strong contemporaneous correlation between fund inflows and S&P market returns. We also document a strong negative correlation between fund out...

In the present paper we analyze the relationship between index funds and asset prices. In particular, our analysis of daily index fund flows indicates a strong contemporaneous correlation between fund inflows and Samp;P market returns. We also document a strong negative correlation between fund...

The market for the leading German equity index DAX comprises electronically traded futures contracts, fully replicated and swap-based exchange traded funds (ETFs), and certificates. This paper reveals that DAX futures contracts contribute an economically and statistically significant proportion...

We examine the option-implied volatility of the three most liquid ETFs (Diamonds, Spiders, and Cubes) and their respective tracking indices (Dow 30, S&P 500, and NASDAQ 100). We find that volatility smiles for ETF options are more pronounced than for index options, primarily because...

In this work, a rule-based definition of market corrections that depends on price volatility is proposed. This enables consistent comparison of corrections in different markets. Statistics of corrections in several US equity indexes and major US equity sector ETFs is compiled. According to the...

We examine both theoretically and empirically whether increased trading activity in index futures and exchange traded funds (ETFs) is associated with higher equity return correlations. Our model predicts that demand shocks to ETFs and futures lead to stronger price comovement for index stocks...