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Confirmation of T+35 Failures-To-Deliver Cycles: Evidence from GameStop Corp

Daniel Pastorek, Michal Drabek and Peter Albrecht ()
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Michal Drabek: Mendel University in Brno, Faculty of Business and Economics, Czech Republic

Czech Journal of Economics and Finance (Finance a uver), 2023, vol. 73, issue 1, 56-80

Abstract: In this paper, we examine the potential of cycles in the valuation of GameStop Corp. (GME) stocks, due to the unique exemptions in exchange traded fund (ETF) creation/redemption activities. In order to satisfy liquidity in the market, a market maker and/or authorised participant is allowed to sell ETF shares that have not yet been created. With the use of wavelet coherence, we find evidence that ETF Failures to Deliver (FTDs) formed consistent cycles in the day T+35 FTD clearing period. Results also confirm less consistent but repeating cycles between the T+3 and T+6 periods. To the best of our knowledge, we are the first in the literature to empirically examine the potential of these cycles and their co-movement between FTD and stock prices.

Keywords: fails to deliver; gameStop; exchange-traded funds; wavelet coherence (search for similar items in EconPapers)
JEL-codes: G10 G14 G40 (search for similar items in EconPapers)
Date: 2023
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Working Paper: Confirmation of T+35 Failures-To-Deliver Cycles: Evidence from GameStop Corp (2022) Downloads
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