Application of Diffusion Models in the Analysis of Financial Markets: Evidence on Exchange Traded Funds in Europe - Publikacja - MOST Wiedzy

Wyszukiwarka

Application of Diffusion Models in the Analysis of Financial Markets: Evidence on Exchange Traded Funds in Europe

Abstrakt

Exchange traded funds (ETFs) are financial innovations that may be considered as a part of the index financial instruments category, together with stock index derivatives. The aim of this paper is to explore the trajectories and formulates predictions regarding the spread of ETFs on the financial markets in six European countries. It demonstrates ETFs’ development trajectories with regard to stock index futures and options that may be considered as their substitutes, e.g., in risk management. In this paper, we use mathematical models of the diffusion of innovation that allow unveiling the evolutionary patterns of turnover of ETFs; the time span of the analysis is 2004–2015, i.e., the period of dynamic changes on the European ETF markets. Such an approach has so far rarely been applied in this field of research. Our findings indicate that the development of ETF markets has been strongest in Italy and France and weaker in the other countries, especially Poland and Hungary. The results highlight significant differences among European countries and prove that diffusion has not taken place in all the cases; there are also considerable differences in the predicted development paths.

Cytowania

  • 1

    CrossRef

  • 1

    Web of Science

  • 1

    Scopus

Cytuj jako

Pełna treść

pobierz publikację
pobrano 25 razy
Wersja publikacji
Accepted albo Published Version
Licencja
Creative Commons: CC-BY otwiera się w nowej karcie

Słowa kluczowe

Informacje szczegółowe

Kategoria:
Publikacja w czasopiśmie
Typ:
artykuły w czasopismach
Opublikowano w:
Risks nr 8, strony 1 - 23,
ISSN: 2227-9091
Język:
angielski
Rok wydania:
2020
Opis bibliograficzny:
Lechman E., Marszk A.: Application of Diffusion Models in the Analysis of Financial Markets: Evidence on Exchange Traded Funds in Europe// Risks -Vol. 8,iss. 1 (2020), s.1-23
DOI:
Cyfrowy identyfikator dokumentu elektronicznego (otwiera się w nowej karcie) 10.3390/risks8010018
Bibliografia: test
  1. References (Abner 2016) Abner, David. 2016. The ETF Handbook. How to Value and Trade Exchange-Traded Funds, 2nd ed. Hoboken: John Wiley & Sons. otwiera się w nowej karcie
  2. (Agapova 2011) Agapova, Anna. 2011. Conventional mutual index funds versus exchange-traded funds. Journal of Financial Markets 14: 323-43, doi:10.1016/j.finmar.2010.10.005. otwiera się w nowej karcie
  3. Abner, David. 2016. The ETF Handbook. How to Value and Trade Exchange-Traded Funds, 2nd ed. Hoboken: John Wiley & Sons. otwiera się w nowej karcie
  4. Agapova, Anna. 2011. Conventional mutual index funds versus exchange-traded funds. Journal of Financial Markets 14: 323-43. [CrossRef] otwiera się w nowej karcie
  5. Akhavein, Jalal, W. Scott Frame, and Lawrence J. White. 2005. The diffusion of financial innovation: An examination of the adoption of small business credit scoring by large banking organizations. Journal of Business 78: 577-96. [CrossRef] otwiera się w nowej karcie
  6. Alderighi, Stefano. 2020. Cross-listing in the European ETP market. Economics Bulletin 40: 35-40. Risks 2020, 8, 18 21 of 23 otwiera się w nowej karcie
  7. Arnold, Matthew, and Antoine Lesné. 2015. The Changing Landscape for Beta Replication-Comparing Futures and ETFs for Equity Index Exposure. Boston: State Street Global Advisors. otwiera się w nowej karcie
  8. Arunanondchai, Panit, Kunlapath Sukcharoen, and David J. Leatham. 2019. Dealing with tail risk in energy commodity markets: Futures contracts versus exchange-traded funds. Journal of Commodity Markets. [CrossRef] otwiera się w nowej karcie
  9. Awrey, Dan. 2013. Toward a supply-side theory of financial innovation. Journal of Comparative Economics 41: 401-19. [CrossRef] otwiera się w nowej karcie
  10. Baltussen, Guido, Sjoerd van Bekkum, and Zhi Da. 2019. Indexing and stock market serial dependence around the world. Journal of Financial Economics 132: 26-48. [CrossRef] otwiera się w nowej karcie
  11. Ben-David, Itzhak, Francesco Franzoni, and Rabih Moussawi. 2017. Exchange Traded Funds. Annual Review of Financial Economics 9: 169-19. [CrossRef] otwiera się w nowej karcie
  12. Ben-David, Itzhak, Francesco Franzoni, and Rabih Moussawi. 2018. Do ETFs increase volatility? The Journal of Finance 73: 2471-535. [CrossRef] otwiera się w nowej karcie
  13. Blocher, Jesse, and Robert E. Whaley. 2016. Two-Sided Markets in Asset Management: Exchange-traded Funds and Securities Lending. Vanderbilt Owen Graduate School of Management Research Paper 2474904: 1-45. [CrossRef] otwiera się w nowej karcie
  14. Box, Travis, Ryan L. Davis, and Kathleen P. Fuller. 2019. ETF competition and market quality. Financial Management 48: 873-916. [CrossRef] otwiera się w nowej karcie
  15. Chang, Chia-Lin, Chia-Ping Liu, and Michael McAleer. 2019. Volatility spillovers for spot, futures, and ETF prices in agriculture and energy. Energy Economics 81: 779-92. [CrossRef] otwiera się w nowej karcie
  16. Chang, Chia-Lin, Michael McAleer, and Chien-Hsun Wang. 2018. An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors. International Journal of Financial Studies 6: 2. [CrossRef] otwiera się w nowej karcie
  17. CME Group. 2016. The Big Picture: A Cost Comparison of Futures and ETFs. Chicago: CME Group.
  18. DeMarzo, Peter, and Darrell Duffie. 1999. A liquidity-based model of security design. Econometrica 67: 65-99. [CrossRef] otwiera się w nowej karcie
  19. Diaz-Rainey, Ivan, and Gbenga Ibikunle. 2012. A Taxonomy of the 'Dark Side' of Financial Innovation: The Cases of High Frequency Trading and Exchange Traded Funds. International Journal of Entrepreneurship and Innovation Management 16: 51-72. [CrossRef] otwiera się w nowej karcie
  20. Dosi, Giovanni, and Richard R. Nelson. 1994. An introduction to evolutionary theories in economics. Journal of Evolutionary Economics 4: 153-72. [CrossRef] otwiera się w nowej karcie
  21. Eurex. 2016. Futures or ETFs?-Not as Simple as Yes or No. Eschborn: Eurex. otwiera się w nowej karcie
  22. Ferri, Richard A. 2009. The ETF Book: All You Need to Know about Exchange-Traded Funds. Hoboken: John Wiley & Sons.
  23. Frame, W. Scott, and Lawrence J. White. 2004. Empirical Studies of Financial Innovation: Lots of Talk, Little Action? Journal of Economic Literature 42: 116-44. [CrossRef] otwiera się w nowej karcie
  24. Frame, W. Scott, and Lawrence J. White. 2012. Technological Change, Financial Innovation, and Diffusion in Banking. In The Oxford Handbook of Banking. Edited by Allen N. Berger, Philip Molyneux and John O.S. Wilson. Oxford: Oxford University Press, pp. 486-507. [CrossRef] otwiera się w nowej karcie
  25. Gastineau, Gary L. 2010. The Exchange-Traded Funds Manual. Hoboken: John Wiley & Sons. otwiera się w nowej karcie
  26. Geroski, Paul A. 2000. Models of technology diffusion. Research Policy 29: 603-25. [CrossRef] otwiera się w nowej karcie
  27. Goltz, Felix, and David Schröder. 2011. Passive Investing before and after the Crisis: Investors' Views on Exchange-Traded Funds and Competing Index Products. Bankers, Markets and Investors 110: 5-20. otwiera się w nowej karcie
  28. Hamid, Nizam, and Jessica Edrosolan. 2009. A comparison: Futures, swaps, and ETFs. ETFs and Indexing 1: 39-49. otwiera się w nowej karcie
  29. Hayashi, Fumiko, and Elizabeth Klee. 2003. Technology adoption and consumer payments: Evidence from survey data. Review of Network Economics 2: 175-90. [CrossRef] otwiera się w nowej karcie
  30. Hehn, Elizabeth. 2005. Introduction. In Exchange Traded Funds: Structure, Regulation and Application of a New Fund Class. Edited by Elizabeth Hehn. Berlin/Heidelberg: Springer, pp. 1-5. [CrossRef] otwiera się w nowej karcie
  31. Hill, Joanne M. 2016. The evolution and success of index strategies in ETFs. Financial Analysts Journal 72: 8-13. [CrossRef] otwiera się w nowej karcie
  32. Hill, Joanne M., and Barbara Mueller. 2001. The appeal of ETFs. ETFs and Indexing 1: 50-65. otwiera się w nowej karcie
  33. Hill, Joanne M., Dave Nadig, and Matt Hougan. 2015. A Comprehensive Guide to Exchange-Traded Funds (ETFs). Charlottesville: CFA Institute Research Foundation. Risks 2020, 8, 18 22 of 23 otwiera się w nowej karcie
  34. Hull, Isaiah. 2016. The development and spread of financial innovations. Quantitative Economics 7: 613-36. [CrossRef] otwiera się w nowej karcie
  35. Investment Company Institute. 2017. Investment Company Fact Book 2017. Washington, DC: Investment Company Institute. otwiera się w nowej karcie
  36. Jiang, Tao, Si Bao, and Long Li. 2019. The linear and nonlinear lead-lag relationship among three SSE 50 Index markets: The index futures, 50ETF spot and options markets. Physica A: Statistical Mechanics and Its Applications 525: 878-93. [CrossRef] otwiera się w nowej karcie
  37. Kovacova, Maria, Tomas Kliestik, Katarina Valaskova, Pavol Durana, and Zuzana Juhaszova. 2019. Systematic review of variables applied in bankruptcy prediction models of Visegrad group countries. Oeconomia Copernicana 10: 743-72. [CrossRef] otwiera się w nowej karcie
  38. Kucharavy, Dmitry, and Roland De Guio. 2011. Logistic substitution model and technological forecasting. Procedia Engineering 9: 402-16. [CrossRef] otwiera się w nowej karcie
  39. Kwasnicki, Witold. 2013. Logistic growth of the global economy and competitiveness of nations. Technological Forecasting and Social Change 80: 50-76. [CrossRef] otwiera się w nowej karcie
  40. Lechman, Ewa, and Adam Marszk. 2015. ICT technologies and financial innovations: The case of Exchange Traded Funds in Brazil, Japan, Mexico, South Korea and the United States. Technological Forecasting and Social Change 99: 355-76. [CrossRef] otwiera się w nowej karcie
  41. Lechman, Ewa. 2015. ICT Diffusion in Developing Countries: Towards a New Concept of Technological Takeoff. New York: Springer. [CrossRef] otwiera się w nowej karcie
  42. Lettau, Martin, and Ananth Madhavan. 2018. Exchange-Traded Funds 101 for Economists. Journal of Economic Perspectives 32: 135-54. [CrossRef] otwiera się w nowej karcie
  43. Liu, Pan, Dmitry Vedenov, and Gabriel J. Power. 2020. Commodity financialization and sector ETFs: Evidence from crude oil futures. Research in International Business and Finance 51: 101109. [CrossRef] otwiera się w nowej karcie
  44. Liu, Qingfu, and Yiuman Tse. 2017. Overnight returns of stock indexes: Evidence from ETFs and futures. International Review of Economics & Finance 48: 440-51. [CrossRef] otwiera się w nowej karcie
  45. Madhavan, Ananth, Ursula Marchioni, Wei Li, and Daphne Yan Du. 2014. Equity ETFs versus Index Futures: A Comparison for Fully Funded Investors. Institutional Investor Journal 5: 66-75. [CrossRef] otwiera się w nowej karcie
  46. Madhavan, Ananth. 2016. Exchange-Traded Funds and the New Dynamics of Investing. Oxford: Oxford University Press. [CrossRef] otwiera się w nowej karcie
  47. Mansfield, Edwin. 1961. Technical change and the rate of imitation. Econometrica: Journal of the Econometric Society 29: 741-66. [CrossRef] otwiera się w nowej karcie
  48. Marszk, Adam, Ewa Lechman, and Yasuyuki Kato. 2019. The Emergence of ETFs in Asia-Pacificirca. New York: Springer. [CrossRef] otwiera się w nowej karcie
  49. McConnell, John J., and Eduardo S. Schwartz. 1992. The origin of LYONS: A case study in financial innovation. Journal of Applied Corporate Finance 4: 40-47. [CrossRef] otwiera się w nowej karcie
  50. Meyer, Perrin S., Jason W. Yung, and Jesse H. Ausubel. 1999. A primer on logistic growth and substitution: The mathematics of the Loglet Lab software. Technological Forecasting and Social Change 61: 247-71. [CrossRef] otwiera się w nowej karcie
  51. Meyer, Perrin. 1994. Bi-logistic growth. Technological Forecasting and Social Change 47: 89-102. [CrossRef] otwiera się w nowej karcie
  52. Molyneux, Phil, and Nidal Shamroukh. 1996. Diffusion of Financial Innovations: The Case of Junk Bonds and Note Issuance Facilities. Journal of Money, Credit and Banking 28: 502-22. [CrossRef] otwiera się w nowej karcie
  53. Oztekin, A. Senol, Suchismita Mishra, Pankaj K. Jain, Robert T. Daigler, Sascha Strobl, and Richard D. Holowczak. 2017. Price discovery and liquidity characteristics for US electronic futures and ETF markets. The Journal of Trading 12: 59-72. [CrossRef] otwiera się w nowej karcie
  54. Persons, John C., and Vincent A. Warther. 1997. Boom and bust patterns in the adoption of financial innovations. Review of Financial Studies 10: 939-67. [CrossRef] otwiera się w nowej karcie
  55. Philippas, Dionisis Th, and Costas Siriopoulos. 2012. Is the progress of financial innovations a continuous spiral process? Investment Management and Financial Innovations 9: 20-31. [CrossRef] otwiera się w nowej karcie
  56. Piccotti, Louis R. 2018. ETF Premiums and Liquidity Segmentation. Financial Review 53: 117-52. [CrossRef] otwiera się w nowej karcie
  57. Rogers, Everett M. 2010. Diffusion of Innovations, 4th ed. New York: Free Press.
  58. Satoh, Daisuke. 2001. A discrete bass model and its parameter estimation. Journal of the Operations Research Society of Japan-Keiei Kagaku 44: 1-18. [CrossRef] otwiera się w nowej karcie
  59. Srinivasan, V., and Charlotte H. Mason. 1986. Technical note-nonlinear least squares estimation of new product diffusion models. Marketing Science 5: 169-78. [CrossRef] otwiera się w nowej karcie
Weryfikacja:
Politechnika Gdańska

wyświetlono 57 razy

Publikacje, które mogą cię zainteresować

Meta Tagi