Journal of Economics and Finance

, Volume 41, Issue 1, pp 78–99

Index trading and portfolio risk

Article

DOI: 10.1007/s12197-015-9334-6

Cite this article as:
Kvamvold, J. & Lindset, S. J Econ Finan (2017) 41: 78. doi:10.1007/s12197-015-9334-6

Abstract

We use data from the Oslo Stock Exchange. Our findings indicate that trading in ETFs is correlated with the return variance on a portfolio of the underlying index constituents. We also find correlation between ETF trading and the return variance on portfolios with non-constituents. The correlation between ETF trading and the return variance on the portfolio of the underlying index constituents is higher than for the other portfolios, but we cannot claim causality. We do not find similar effects from flows to index-linked mutual funds.

Keywords

ETFs Index funds Portfolio return variance 

JEL Classifications

G11 G12 G23 

Copyright information

© Springer Science+Business Media New York 2015

Authors and Affiliations

  1. 1.Department of EconomicsNorwegian University of Science and TechnologyTrondheimNorway