اخبار و اعلانات

 آمار

تعداد نشریات24
تعداد شماره‌ها934
تعداد مقالات8,383
تعداد مشاهده مقاله16,981,645
تعداد دریافت فایل اصل مقاله14,371,246
Jafarizadeh Malmiri, Ali Akbar, Askarzadeh, Gholmreza, Khajeh Mahmoodabadi, Hamid, Abtahi, Yahya. (1401). The Relationship Between Exchange Traded Fund (ETF) and Market Fragility: Evidence from Iran`s Stock Market. , 11(1), 145-167. doi: 10.22099/ijes.2023.46785.1894
Ali Akbar Jafarizadeh Malmiri; Gholmreza Askarzadeh; Hamid Khajeh Mahmoodabadi; Yahya Abtahi. "The Relationship Between Exchange Traded Fund (ETF) and Market Fragility: Evidence from Iran`s Stock Market". , 11, 1, 1401, 145-167. doi: 10.22099/ijes.2023.46785.1894
Jafarizadeh Malmiri, Ali Akbar, Askarzadeh, Gholmreza, Khajeh Mahmoodabadi, Hamid, Abtahi, Yahya. (1401). 'The Relationship Between Exchange Traded Fund (ETF) and Market Fragility: Evidence from Iran`s Stock Market', , 11(1), pp. 145-167. doi: 10.22099/ijes.2023.46785.1894
Jafarizadeh Malmiri, Ali Akbar, Askarzadeh, Gholmreza, Khajeh Mahmoodabadi, Hamid, Abtahi, Yahya. The Relationship Between Exchange Traded Fund (ETF) and Market Fragility: Evidence from Iran`s Stock Market. , 1401; 11(1): 145-167. doi: 10.22099/ijes.2023.46785.1894

The Relationship Between Exchange Traded Fund (ETF) and Market Fragility: Evidence from Iran`s Stock Market

Iranian Journal of Economic Studies
مقاله 9، دوره 11، شماره 1 - شماره پیاپی 21، 2022، صفحه 145-167    اصل مقاله (394.53 K)
نوع مقاله: Research Paper
شناسه دیجیتال (DOI): 10.22099/ijes.2023.46785.1894
نویسندگان
Ali Akbar Jafarizadeh Malmiri؛ Gholmreza Askarzadeh* ؛ Hamid Khajeh Mahmoodabadi؛ Yahya Abtahi
Department of Financial Engineering, Yazd Branch, Islamic Azad University. Yazd, Iran
چکیده
The purpose of this study is to investigate the effectiveness of ETF funds on Iran's stock market. The index investigated in this research is the degree of fragility of the stock market in Iran. For this purpose, a model has been used at first, which shows how much the entry of an ETF market fund can affect the stability and fragility of the stock market. Then, in order to analyze the issue, a series of ETF funds in Iran has been selected. We used price data of 21 different stocks included in ETF funds and the price of related ETF from 30-Jan 2022 till 28-Dec 2022. Using OLS regression analysis, the results and analysis give a pattern that with the entry of ETF funds, the nonsystematic value has increased values. Therefore, we conclude that the entry of ETF funds into the market increases the fragility in the Iranian stock market.
کلیدواژه‌ها
ETF funds؛ market fragility؛ stock market؛ ETF assets
مراجع

Abner, D. (2010). The ETF handbook (John Wiley and Sons, Inc., Hoboken, New
Jersey.).
Ben-David, I., Franzoni, F., Moussawi, R. (2018). “Do ETFs Increase
Volatility?”, Journal of Finance, 73(6), 2471-2535.
BlackRock. (2017). “BlackRock Global ETF Landscape: Monthly Snapshot.
Chakravarty, S. (2001). Stealth-trading: Which traders’ trades move stock prices?
Journal of Financial Economics 61 (2), 289-307.
Corbet, S., and Twomey, C. (2014) “Have Exchange Traded Funds Influenced
Commodity Market Volatility?”, International Journal of Economics and
Financial Issues, vol. 4(2).
French, Kenneth R., (2008). “The cost of active investing”, Journal of Finance
63(4), 1537–1573.
Gastineau, G (2002). “The Exchange-Traded Funds Manual”, John Wiley and
Sons.
Glosten, L., and Nallareddy, S., and Zou, Y. (2019). “ETF Activity and
Informational Efficiency of Underlying Securities”, SSRN, 2846157.
Karmaziene, E., and Sokolovski, V., (2014). Exchange traded funds and the 2008
short-sale ban. Work paper. Swedish House of Finance Research Paper.
Lettau, M., Madhavan, A., (2018). “Exchange-Traded Funds 101 for
Economists”, Journal of Economic Perspectives, 32 (1): 135-54.
Li, F., and Zhu, Q., (2016). Synthetic Shorting with ETFs. Working paper. Hong
Kong University of Science and Technology and University of Texas at
Austin.
Jafarizade Malamiri et al., Iranian Journal of Economic Studies, 11(1) 20212, 145-167 167
Pham, S., and Marshall, Ben R., and Nguyen, Nhut H., and Visaltanachoti, N.
(2021) “Liquidity Spillover between ETFs and Their Constituents” Available
atSSRN: https://ssrn.com/abstract=3806140 or http://dx.doi.org/10.2139/ssr
n.3806140.
Piotroski, J., and Roulstone, B., (2004). The influence of analysts, institutional
investors, and insiders on the incorporation of market, industry, and firmspecific information into stock prices. The Accounting Review 79, 1119-
1151.
Madhaven, A. (2016). “Exchange Traded Funds and the New Dynamics of
Investing”, Oxford University Press, NY.
Nallareddy, S. and Ogneva, M., (2017). Accrual quality, skill, and the crosssection of mutual fund returns. Review of Accounting Studies, 22(2), pp.503-
542.
Neves, M., and Fernandes, M., and Martins, P. (2019) “Are ETFs Good Vehicle
for Diversification? New Evidence for Critical Investment Periods”, Borsa
Istanbul Review.
Sakarya, B., and Aukut, E. (2020) “Exchange Traded Funds and FX Volatility:
Evidence from Turkey”, Central Bank Review.
Wu, C., and Xiong, X., and Gao, Y. (2021) “Performance comparisons between
ETFs and traditional index funds: Evidence from China”, Finance Research
Letter, Vol 40. 

آمار
تعداد مشاهده مقاله: 872
تعداد دریافت فایل اصل مقاله: 829


سامانه مدیریت نشریات علمی. قدرت گرفته از سیناوب