Skip header navigation


Premiums, Discounts and Feedback Trading: Evidence from Emerging Markets' ETFs

Charteris A, Chau F, Gavriilidis K & Kallinterakis V (2014) Premiums, Discounts and Feedback Trading: Evidence from Emerging Markets' ETFs. International Review of Financial Analysis, 35, pp. 80-89.

This study investigates the extent to which ETFs' premiums and discounts motivate feedback trading in emerging markets' ETFs. Using a sample of the first-ever launched broad-index ETFs from four emerging markets (Brazil, India, South Africa and South Korea), we produce evidence denoting that feedback trading grows in significance in the presence of lagged premiums. The significance of feedback trading becomes more widespread across our sample's ETFs as the lagged premiums grow in magnitude, with evidence also suggesting that the effect of lagged premiums over feedback trading varies prior to and after the outbreak of the recent global financial crisis.

feedback trading; exchange-traded funds; emerging markets

International Review of Financial Analysis: Volume 35

Author(s)Charteris, Ailie; Chau, Frankie; Gavriilidis, Konstantinos; Kallinterakis, Vasileios
Publication date31/10/2014
Publication date online08/08/2014
Date accepted by journal28/07/2014
Scroll back to the top