Construct · 1 fields · 1 citations

ETF ownership and volatility: a standalone construct

One name. One construct. A landmark on the map.

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ETF ownershipand volatility1 CONSTRUCTETF ownership andBEN-DAVID · FINANCE

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Finance

higher exchange-traded fund ownership of a stock raising its price volatility, as arbitrage passes ETF trading shocks into the underlying shares.

In finance, ETF ownership and volatility refers to higher exchange-traded fund ownership of a stock raising its price volatility, as arbitrage passes ETF trading shocks into the underlying shares. This meaning comes from Ben-David (2018) in The Journal of Finance.[1]

Unit
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Nearby constructs

arbitrage3 fields · 3 citationsjingle · one word, three constructsownership4 fields · 5 citationsjingle · one word, four constructsraising1 fields · 1 citationsanchor · one construct, one field

References

  1. Ben-David, I., Franzoni, F., & Moussawi, R. (2018). Do ETFs Increase Volatility? The Journal of Finance, 73(6), 2471-2535. https://doi.org/10.1111/jofi.12727

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