Filippou, Ilias
[Verfasser:in]
;
Gozluklu, Arie Eskenazi
[Sonstige Person, Familie und Körperschaft];
Rozental, Hari
[Sonstige Person, Familie und Körperschaft]
Erschienen in:WBS Finance Group Research Paper ; No. 260
Umfang:
1 Online-Ressource (83 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.3287417
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 17, 2019 erstellt
Beschreibung:
We show that investment decisions of ETF market participants when trading country ETFs are mostly driven by shocks to U.S. fundamentals, rather than local risks. Investors react only to negative news about local economies. When U.S. economic uncertainty increases, investors switch to Cash ETFs. We demonstrate that ETF arbitrage mechanism is one of the key channels through which U.S. shocks propagate to local economies leading to increased return correlation with the U.S. market, limiting the benefits from international diversification. We find that countries with stronger ETF price discovery and lower limits to arbitrage have a higher comovement with the U.S. market