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Asset prices and corporate responses to Bank of Japan ETF purchases

Charoenwong, Ben; Morck, Randall; Wiwattanakantang, Yupana - 2019

Persistent link: https://www.econbiz.de/10011983924

Fundamentalne indeksowanie na rynku instrumentów o stałym dochodzie

Miziołek, Tomasz - In: Annales Universitatis Mariae Curie-Skłodowska / H 51 (2017) 5, pp. 211-219

Persistent link: https://www.econbiz.de/10011990538

Factor-based optimisation and the creation/redemption mechanism of fixed income exchange-traded funds

Golub, Bennett W.; Ferconi, Maurizio; Madhavan, Ananth … - In: International journal of financial engineering and risk … 2 (2018) 4, pp. 335-350

Persistent link: https://www.econbiz.de/10012000037

How to mine gold without digging

Guo, Kevin; Leung, Tim; Ward, Brian - In: International journal of financial engineering 6 (2019) 1, pp. 1-30

Persistent link: https://www.econbiz.de/10012028869

How ETFs amplify the global financial cycle in emerging markets

Converse, Nathan; Levy Yeyati, Eduardo; Williams, Tomas - 2019

Persistent link: https://www.econbiz.de/10012029235

Connecting VIX and stock index ETF with VAR and diagonal BEKK

Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-25

As stock market indexes are not tradeable, the importance and trading volume of Exchange-Traded Funds (ETFs) cannot be understated. ETFs track and attempt to replicate the performance of a specific index. Numerous studies have demonstrated a strong relationship between the S&P500 Composite Index...

Persistent link: https://www.econbiz.de/10011961446

Message traffic restrictions and relative pricing efficiency : evidence from index futures contracts and exchange-traded funds

Lepone, Andrew; Wen, Jun; Yang, Jin Young - In: Pacific-Basin finance journal 51 (2018), pp. 366-375

Persistent link: https://www.econbiz.de/10012035198

Physical versus synthetic exchange traded funds : which one replicates better?

Mateus, Cesario; Rahmani, Yana - In: Journal of mathematical finance 7 (2017) 4, pp. 975-989

Persistent link: https://www.econbiz.de/10011860220

Label co-movement : component stock inclusion and exclusion between different exchange-traded funds

Li, Chun-an; Lee, Min-Ching; Liu, Ju-Hua - In: The international journal of business and finance … 12 (2018) 1, pp. 39-56

Persistent link: https://www.econbiz.de/10011856284

Bank of Japan's exchange-traded fund purchases as an unprecedented monetary easing policy

Shirai, Sayuri - 2018

This paper highlights exchange-traded funds (ETF) purchases conducted by the Bank of Japan under Quantitative and Qualitative Monetary Easing with Yield Curve Control. The policy to indirectly purchase stocks is unprecedented in terms of the scale and duration among major central banks. The...

Persistent link: https://www.econbiz.de/10011894177