Abstract

http://ssrn.com/abstract=2161057
 
 

References (28)



 
 

Citations (2)



 
 

Footnotes (25)



 


 



Intraday Share Price Volatility and Leveraged ETF Rebalancing


Pauline M. Shum


York University - Schulich School of Business

Walid Hejazi


University of Toronto - Rotman School of Management

Edgar Haryanto


Independent

Arthur Rodier


Independent

January 31, 2015


Abstract:     
Regulators and market participants are concerned about leveraged ETFs' role in driving up end-of-day volatility through their daily hedging activities near the market’s close. Leveraged ETF providers and analysts counter that the funds are too small to make a meaningful impact on volatility. For the period 2006 to 2011, we show that end-of-day volatility was positively and statistically significantly correlated with the ratio of potential rebalancing trades to total trading volume. However, the impact was economically significant only during the most volatile days. Given the predictable pattern of leveraged ETF hedging demands, we also explore the implications for predatory trading.

Number of Pages in PDF File: 45

Keywords: Leveraged ETF, ETF, Intraday volatility, Swap counterparties, market volatility, market microstructure

JEL Classification: G10


Open PDF in Browser Download This Paper

Date posted: October 13, 2012 ; Last revised: March 26, 2015

Suggested Citation

Shum, Pauline M. and Hejazi, Walid and Haryanto, Edgar and Rodier, Arthur, Intraday Share Price Volatility and Leveraged ETF Rebalancing (January 31, 2015). Available at SSRN: http://ssrn.com/abstract=2161057 or http://dx.doi.org/10.2139/ssrn.2161057

Contact Information

Pauline Shum (Contact Author)
York University - Schulich School of Business ( email )
4700 Keele Street
Toronto, Ontario M3J 1P3
Canada
Walid Hejazi
University of Toronto - Rotman School of Management ( email )
105 St. George Street
Toronto, Ontario M5S 3E6
Canada
(416) 287-7318 (Phone)
Edgar Haryanto
Independent
No Address Available
United States
Arthur Rodier
Independent
No Address Available
United States
Feedback to SSRN


Paper statistics
Abstract Views: 7,422
Downloads: 2,718
Download Rank: 2,296
References:  28
Citations:  2
Footnotes:  25

© 2015 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo3 in 0.406 seconds