Premiums,discounts and feedback trading: Evidence from emerging markets' ETFs |
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| Affiliation: | 1. University of KwaZulu-Natal, Durban 4041, South Africa;2. Durham University Business School, Mill Hill Lane, Durham DH1 3LB, UK;3. Stirling Management School, University of Stirling, Stirling FK9 4LA, UK;4. University of Liverpool Management School, University of Liverpool, Chatham Street, Liverpool L69 7ZH, UK;1. Newcastle Business School, University of Newcastle, University Drive, Callaghan, NSW 2308, Australia;2. Adelaide Business School, University of Adelaide, 10 Pulteney St, Adelaide, SA 5000, Australia;1. Department of Finance, Ming Chuan University, Taipei, Taiwan, ROC;2. Department of Banking and Finance, TamKang University, Tamsui, New Taipei City, Taiwan;1. International Institute for Financial Studies, Jiangxi University of Finance and Economics, China;2. Department of Finance, La Trobe Business School, La Trobe University, Bundoora, Victoria 3086, Australia |
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| 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. |
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