Index trading and portfolio risk

Joakim Kvamvold () and Snorre Lindset
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Joakim Kvamvold: Norwegian University of Science and Technology

Journal of Economics and Finance, 2017, vol. 41, issue 1, No 4, 78-99

Abstract: Abstract We use data from the Oslo Stock Exchange. Our findings indicate that trading in ETFs is correlated with the return variance on a portfolio of the underlying index constituents. We also find correlation between ETF trading and the return variance on portfolios with non-constituents. The correlation between ETF trading and the return variance on the portfolio of the underlying index constituents is higher than for the other portfolios, but we cannot claim causality. We do not find similar effects from flows to index-linked mutual funds.

Keywords: ETFs; Index funds; Portfolio return variance; G11; G12; G23 (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1007/s12197-015-9334-6

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