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Identifier to cite or link to this item: https://doi.org/10.15057/29713
Identifier to cite or link to this item: https://hdl.handle.net/10086/29713

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Title
DO LEVERAGED/INVERSE ETFS WAG THE UNDERLYING MARKET? : EVIDENCE FROM THE KOREAN STOCK MARKET
Creator
Creator Name
LEE, KYUSEOK LEE, KYUSEOK
Affiliation
Affiliation Name
School of Business, Sejong University
Creator Name
KIM, SOO-HYUN KIM, SOO-HYUN
Affiliation
Affiliation Name
School of Business Administration, Soongsil University
Key Word
ETF
price discovery
information share
market impact
JEL
G12
G14
G15
Abstract
This paper addresses the question of whether leveraged and inverse exchange-traded funds (ETFs) affect the underlying market. The Korean markets provide a unique context to address the question in that (i) the ETFs contain only stocks and futures, and (ii) the futures markets close 15 minutes later than the stock markets. Although the Hasbrouck information shares do not indicate any dominant price discovery effect between the leveraged/inverse ETFs and the underlying stock market based on daily close-to-close returns, we find evidence that ETF managersʼ rebalancing activities have a significant impact on the daily close-to-open returns of the underlying stock market.
Publisher
Hitotsubashi University
Issued Date
2018-12
Language
English(eng)
Resource Type
departmental bulletin paper
Version Type
VoR
selfDOI
10.15057/29713
ISSN
0018-280x
NCID
AA00207547
Source Title
Hitotsubashi Journal of Economics
Volume Number
59
Issue Number
2
Page Start
83
Page End
94
Appears in Collections
Vol. 59, no. 2 (Dec. 2018)
URL
https://hdl.handle.net/10086/29713