Innovations and Advances in Exchange-Traded Funds

A special issue of Journal of Risk and Financial Management (ISSN 1911-8074). This special issue belongs to the section "Financial Markets".

Deadline for manuscript submissions: closed (1 September 2023) | Viewed by 5134

Special Issue Editors


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Guest Editor
Department of Finance, College of Business, Florida International University, Miami, FL 33199, USA
Interests: board committees; exchange traded funds (ETFs); market design; institutional trading; short selling; algorithmic trading

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Guest Editor
Department of Finance and Business Law, California State University, Fresno, CA, USA
Interests: corporate finance; investments; corporate governance
Department of Finance and Business Law, California State University, Fresno, CA, USA
Interests: microstructure; retail trading; investment

Special Issue Information

Dear Colleagues,

We cordially invite you to submit original research articles to this Special Issue on both equity and non-equity exchange-traded funds (ETFs). This Special Issue encourages submissions related to topics including, but not limited to, the categorization, management, trading, and impact of ETFs. Contributions focusing on the fund inflows, new entrants, innovative products, and distribution opportunities of ETFs are particularly welcome. Environmental, social, and governance investing studies, especially during the COVID-19 pandemic, are also of strong interest. 

Prof. Dr. Suchismita Mishra
Dr. Vinh Huy Nguyen
Dr. Le Zhao
Guest Editors

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Published Papers (2 papers)

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Research

13 pages, 543 KiB  
Article
Reverse Stock Splits and Liquidity in ETFs
by Olesya Lobanova and Alexandre Aidov
J. Risk Financial Manag. 2024, 17(1), 4; https://doi.org/10.3390/jrfm17010004 - 20 Dec 2023
Cited by 1 | Viewed by 2189
Abstract
This study aims to address a gap in the existing literature pertaining to the liquidity of exchange-traded funds (ETFs). Specifically, we examine the effect of reverse share splits on ETF liquidity. In contrast to equities, the utilization of ETFs enables the separation of [...] Read more.
This study aims to address a gap in the existing literature pertaining to the liquidity of exchange-traded funds (ETFs). Specifically, we examine the effect of reverse share splits on ETF liquidity. In contrast to equities, the utilization of ETFs enables the separation of signaling and liquidity considerations. Findings suggest that liquidity improves after reverse splits in both univariate and multivariate results. In the absence of delisting concerns, results support the liquidity hypothesis of stock splits. Full article
(This article belongs to the Special Issue Innovations and Advances in Exchange-Traded Funds)
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14 pages, 311 KiB  
Article
The Dynamic Dependency between a Cryptocurrency ETF and ETFs Representing Conventional Asset Classes
by Marcos Velazquez, Alper Gormus and Nima Vafai
J. Risk Financial Manag. 2023, 16(9), 412; https://doi.org/10.3390/jrfm16090412 - 15 Sep 2023
Viewed by 2371
Abstract
Using daily closing price observations between November 2017 and February 2023, this paper documents how the shocks of a cryptocurrency ETF resonate with ETFs representing traditional asset classes in terms of price and volatility. We find price transmission from the cryptocurrency ETF into [...] Read more.
Using daily closing price observations between November 2017 and February 2023, this paper documents how the shocks of a cryptocurrency ETF resonate with ETFs representing traditional asset classes in terms of price and volatility. We find price transmission from the cryptocurrency ETF into the ETFs of several currencies, small-cap equities, and inflation. Risk propagation from the cryptocurrency ETF flows toward ETFs constituted of equities of various sizes, oil prices, high-yield corporate bonds, and inflation. There is scant evidence of transmission from ETFs with underlying conventional assets into the cryptocurrency ETF. The findings bear implications for low-cost risk management strategies. Full article
(This article belongs to the Special Issue Innovations and Advances in Exchange-Traded Funds)
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