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Appears in Collections:Accounting and Finance Journal Articles
Peer Review Status: Refereed
Title: Premiums, Discounts and Feedback Trading: Evidence from Emerging Markets' ETFs
Author(s): Charteris, Ailie
Chau, Frankie
Gavriilidis, Konstantinos
Kallinterakis, Vasileios
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Keywords: feedback trading
exchange-traded funds
emerging markets
Issue Date: Oct-2014
Date Deposited: 6-Aug-2014
Citation: Charteris A, Chau F, Gavriilidis K & Kallinterakis V (2014) Premiums, Discounts and Feedback Trading: Evidence from Emerging Markets' ETFs. International Review of Financial Analysis, 35, pp. 80-89.
Abstract: This study investigates the extent to which ETFs' premiums and discounts motivate feedback trading in emerging markets' ETFs. Using a sample of the first-ever launched broad-index ETFs from four emerging markets (Brazil, India, South Africa and South Korea), we produce evidence denoting that feedback trading grows in significance in the presence of lagged premiums. The significance of feedback trading becomes more widespread across our sample's ETFs as the lagged premiums grow in magnitude, with evidence also suggesting that the effect of lagged premiums over feedback trading varies prior to and after the outbreak of the recent global financial crisis.
DOI Link: 10.1016/j.irfa.2014.07.010
Rights: Published in International Review of Financial Analysis by Elsevier; Elsevier believes that individual authors should be able to distribute their accepted author manuscripts for their personal voluntary needs and interests, e.g. posting to their websites or their institution’s repository, e-mailing to colleagues. The Elsevier Policy is as follows: Authors retain the right to use the accepted author manuscript for personal use, internal institutional use and for permitted scholarly posting provided that these are not for purposes of commercial use or systematic distribution. An "accepted author manuscript" is the author’s version of the manuscript of an article that has been accepted for publication and which may include any author-incorporated changes suggested through the processes of submission processing, peer review, and editor-author communications.

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