Price Volatility Effects of Leveraged ETFs

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2013HudakA_thesis.pdf(196.33 KB)
2013HudakA_release.pdf(425.06 KB)
Date
2013
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Kontorovich, Vladimir
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Haverford College. Department of Economics
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Thesis
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Award
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eng
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Dark Archive
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http://creativecommons.org/licenses/by-nc/3.0/us/
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Abstract
This study examines the dynamics of leveraged ETFs and provides an analysis of the price volatility impact of the Direxion Daily Financial Bull 3X Shares (FAS), a 3X leveraged ETF, on its underlying index, the Russell 1000 Financial Services Index. Research finds statistically significant evidence that increases in the trading volume of FAS exacerbate the price volatility of the underling index. This study sets up a framework for understanding why this relationship may exist and offers possible policy solutions for controlling the observed volatility impact.
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Exchange traded funds
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http://hdl.handle.net/10066/10980
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Economics