Is the Trading of Inverse ETFs a Bearish Signal?

Autor:	Benjamin M. Blau, Tyler J. Brough
Rok vydání:	2011
Předmět:	Momentum (finance) Index (economics) Financial economics Market price Contrarian Economics Econometrics Inverse General Medicine
Zdroj:	The Journal of Trading. 6:32-40
ISSN:	2168-8427 1559-3967
DOI:	10.3905/jot.2011.6.3.032
Popis:	In this study, we examine the trading activity of inverse ETFs in an attempt to explain whether inverse ETF volume contains bearish information about future market prices. Our two main results are, first, inverse ETF trading activity occurs after periods of negative returns suggesting that traders of those funds are not contrarian traders and are instead momentum traders. Second, we find that inverse ETF trading activity does not contain any predictive ability about future index price movements. Combined with our first finding, the second result indicates that there is little, if any, information contained in the trading of inverse ETFs. These conclusions hold when we condition on whether the ETF is leveraged and unleveraged.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::1f4fc2d0ca1e38954ae4910e1ba9e18b https://doi.org/10.3905/jot.2011.6.3.032 Zobrazit plný text záznamu