Index trading and portfolio risk

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.

Berbahayakah Instrumen Derivatif Dalam Konteks Akuntansi?

“…Walau program lindung nilainya menjadi tidak efektif, perusahaan tersebut menerapkan risiko manajemen dengan lebih hati-hati dibanding perusahaan yang program lindung nilainya efektif (Kvamvold & Lindset, 2017;Zhang, 2009). Penggunaan instrumen derivatif juga cenderung digunakan oleh perusahaan dengan laba opera si yang rendah karena lindung nilai dapat bertujuan menjaga nilai laba operasi (Ameer, 2009;Lau, 2016;Shen & Hartarska, 2013).…”