Information -based trading and information propagation: Evidence from the exchange traded fund market

被引：0
|
作者：
Xu, Liao [1 ,2 ]
Xu, Lu [3 ]
Zhao, Jing [4 ]
Zhao, Yang [5 ]
机构：
[1] Zhejiang Gongshang Univ, Int Business Sch, Hangzhou, Peoples R China
[2] Zhejiang Gongshang Univ, Sch Finance, Hangzhou, Peoples R China
[3] East China Univ Polit Sci & Law, Business Sch, Shanghai, Peoples R China
[4] La Trobe Univ, Dept Econ & Finance, Bundoora, Vic, Australia
[5] Cent Univ Finance & Econ, Chinese Acad Finance & Dev, Beijing, Peoples R China
来源：
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS | 2020年 / 70卷
基金：
中国国家自然科学基金;
关键词：
Disagreement among investors; Exchange-traded funds; Information asymmetry; Market efficiency; Price discovery; PRICE DISCOVERY; CROSS-SECTION; TIME-SERIES; EFFICIENCY; LIQUIDITY; CLASSIFICATION; COINTEGRATION; VOLATILITY; COMPONENTS; SECURITY;
D O I：
10.1016/j.irfa.2020.101495
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper studies the information -based trading of exchange -traded funds (ETFs) and the information propa- gation from the ETF market to its index. We find that the ETF trading triggered by asymmetric information and belief heterogeneity not only accelerates the ETFs' price discovery process but also increases the flow of in- formation to the tracked index. Moreover, the price efficiency of the index also improves along with these two types of trading and their efficiency effects can be further enhanced by a speedier ETFs' price discovery. These observations portray the mechanism of the inter -market information propagation.
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页数：10
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