[HTML][HTML] How high frequency trading affects a market index

DY Kenett, E Ben-Jacob, HE Stanley… - Scientific reports, 2013 - nature.com
The relationship between a market index and its constituent stocks is complicated. While an
index is a weighted average of its constituent stocks, when the investigated time scale is one …

The pricing efficiency of exchange-traded commodities

G Dorfleitner, A Gerl, J Gerer - Review of Managerial Science, 2018 - Springer
Exchange-traded commodities (ETCs) open the commodity markets to both private and
institutional investors. This paper is the first to examine the pricing efficiency and potential …

An analysis of exchange traded notes tracking errors with their underlying indexes and indicative values

R Aroskar, WA Ogden - Applied Financial Economics, 2012 - Taylor & Francis
This study employs five commonly used methods to estimate tracking errors between iPath
Exchange Traded Notes (ETNs) and their respective indexes. Commodity ETNs perform well …

[PDF][PDF] Backwardation and commodity futures performance: Evidence from evolving agricultural markets

B Feldman, H Till - Journal of Alternative Investments, 2006 - premiacap.com
The recent performance of commodities has spurred interest in the various sources of
returns to commodity investment. The underlying sources of return include the potential …

Tail-risk hedging, dividend chasing, and investment constraints: The use of exchange-traded notes by mutual funds

D Rakowski, SE Shirley, JR Stark - Journal of Empirical Finance, 2017 - Elsevier
Our study examines mutual fund demand for a newly designed security, exchange-traded
notes (ETNs). We find strong evidence that mutual fund long positions in ETNs significantly …

Implicit leverage: Can accrued fees cause levered ETN returns?

A John, L DeVault - Finance Research Letters, 2023 - Elsevier
Abstract Exchange Traded Notes (ETNs) are unsecured debt obligations backed by the
credit quality of the issuing bank. These investments are designed to provide the return of an …

[HTML][HTML] Effects of commodity exchange-traded note introductions: Adjustment for seasonality

J Yu, D Ryu - Borsa Istanbul Review, 2020 - Elsevier
This study investigates the impacts of the introductions of commodity exchange-traded notes
on the corresponding underlying commodity futures markets around their issuance …

The risks of volatility ETNs: a recent incident and underlying issues

F Goltz, S Stoyanov - The Journal of Index Investing, 2013 - pm-research.com
Getting a volatility exposure has become easier for investors after the relatively recent
introduction of volatility ETNs (exchange-traded notes) and volatility ETFs (exchange-traded …

What drives the market for exchange-traded notes?

D Rakowski, S Shirley - Journal of Banking & Finance, 2020 - Elsevier
Exchange-traded notes (ETNs) are a relatively new form of security design that appear
similar to exchange-traded funds (ETFs), but with no underlying portfolio holdings. We …

Student-Managed Commodity Fund—A New Frontier in Experiential Learning

OI Massa, AF Ramsey - Journal of Agricultural and Applied …, 2020 - cambridge.org
This study provides a road map for creating and operating a student-managed investment
fund (SMIF) as an experiential learning opportunity in commodity market analysis. We …