This paper explores the role that ETFs and options have on the underlying stock return. Using a dataset of 400 stocks over a five year period, I examine the effect that ETF rebalancing and option hedging have on stock returns. I find evidence that rebalancing demands for ETFs increase the volatility of the end-of-day returns of the constituent stocks. In addition, I conclude that options have a meaningful positive impact on the underlying stock's daily momentum. These results suggest that stock returns are destabilized by these two financial instruments. / Applied Mathematics
| Identifer | oai:union.ndltd.org:harvard.edu/oai:dash.harvard.edu:1/17417583 |
| Date | January 2015 |
| Creators | Zhang, William |
| Publisher | Harvard University |
| Source Sets | Harvard University |
| Language | English |
| Detected Language | English |
| Type | Thesis or Dissertation, text |
| Format | application/pdf |
| Rights | closed access |
Page generated in 0.0023 seconds