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Exchange-traded Funds and Financial Stability

URN to cite this document: urn:nbn:de:bvb:703-epub-3189-0

Title data

Baumann, Michael Heinrich ; Baumann, Michaela ; Herz, Bernhard:
Exchange-traded Funds and Financial Stability.
Bayreuth , 2016 . - 42 S.

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Promotionsstipendium
No information
Project financing: Bundesministerium für Bildung und Forschung
Hanns-Seidel-Stiftung

Abstract

Exchange-traded Funds (ETFs) are easy to understand, cost-efficient ways of investing in asset market indices that have become very popular for both retail and institutional investors. Investing in an index of assets via an ETF can generate quite complex and sometimes counterintuitive investment behaviors on the level of individual assets. These dynamics depend among others on the kind of market index, the types of traders in the market, price trends in individual stocks and the overall market as well as situations of over- or undervaluation of individual stocks and the index. Based on a heterogeneous agents model we find that the presence of ETF chartists counterintuitively lowers the likelihood of price bubbles in individual asset markets while at the same time weakening financial stability as measured by asset price volatility and excess kurtosis.

Further data

Item Type: Preprint, postprint
Keywords: exchange-traded index funds; ETF; index fund; heterogeneous agent model; bubbles; financial stability; volatility
Subject classification: JEL classification codes: D47, G01, G10, G11
DDC Subjects: 300 Social sciences > 330 Economics
500 Science > 510 Mathematics
Institutions of the University: Faculties
Faculties > Faculty of Mathematics, Physics und Computer Science
Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics
Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics > Chair Mathematics V (Applied Mathematics)
Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Computer Science > Chair Applied Computer Science IV
Faculties > Faculty of Law, Business and Economics
Faculties > Faculty of Law, Business and Economics > Department of Economics
Faculties > Faculty of Law, Business and Economics > Department of Economics > Chair Economics I - International Economics and Finance
Faculties > Faculty of Law, Business and Economics > Department of Economics > Former Professors > Chair Economics I - International Economics and Finance - Univ.-Prof. Dr. Bernhard Herz
Profile Fields
Profile Fields > Advanced Fields
Profile Fields > Advanced Fields > Nonlinear Dynamics
Research Institutions > Central research institutes > Bayreuth Research Center for Modeling and Simulation - MODUS
Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Computer Science
Research Institutions
Research Institutions > Central research institutes
Faculties > Faculty of Law, Business and Economics > Department of Economics > Former Professors
Language: English
Originates at UBT: Yes
URN: urn:nbn:de:bvb:703-epub-3189-0
Date Deposited: 14 Feb 2017 13:55
Last Modified: 02 Mar 2017 08:06
URI: https://epub.uni-bayreuth.de/id/eprint/3189

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