Index trading and portfolio risk

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• 作者：Joakim Kvamvold ; Snorre Lindset
• 关键词：ETFs ; Index funds ; Portfolio return variance
• 刊名：Journal of Economics and Finance
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：41
• 期：1
• 页码：78-99
• 全文大小：
• 刊物主题：Economics, general; Macroeconomics/Monetary Economics//Financial Economics; Finance, general;
• 出版者：Springer US
• ISSN：1938-9744
• 卷排序：41

文摘

We use data from the Oslo Stock Exchange. Our findings indicate that trading in ETFs is correlated with the return variance on a portfolio of the underlying index constituents. We also find correlation between ETF trading and the return variance on portfolios with non-constituents. The correlation between ETF trading and the return variance on the portfolio of the underlying index constituents is higher than for the other portfolios, but we cannot claim causality. We do not find similar effects from flows to index-linked mutual funds.