Does the inverse exchange-traded fund trading convey a bearish signal to the market?

This paper investigates whether inverse exchange-traded fund (ETF) trading can predict future negative underlying index returns. Using inverse ETF’s turnover rates and price volatilities to represent trading activities, this paper discovers that inverse ETF trading is significantly and positively re...

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Main Author:	Jung-Chu Lin
Format:	Article
Language:	English
Published:	LLC "CPC "Business Perspectives" 2016-07-01
Series:	Investment Management & Financial Innovations
Online Access:	https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/7306/imfi_en_2016_02cont2_Lin.pdf

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spelling	doaj-548fbd86ada64252960e6779b559b84a2020-11-25T03:08:28ZengLLC "CPC "Business Perspectives"Investment Management & Financial Innovations 1810-49671812-93582016-07-0113227928410.21511/imfi.13(2-2).2016.027306Does the inverse exchange-traded fund trading convey a bearish signal to the market?Jung-Chu LinThis paper investigates whether inverse exchange-traded fund (ETF) trading can predict future negative underlying index returns. Using inverse ETF’s turnover rates and price volatilities to represent trading activities, this paper discovers that inverse ETF trading is significantly and positively related to future index returns and infers that the trading of inverse ETFs may not reflect informed pessimistic trading and cannot convey a bearish signal to the market. The trading activities in inverse ETFs do provide information about future index returns, yet what they reflect may be a lagging or less-informed bearish signalhttps://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/7306/imfi_en_2016_02cont2_Lin.pdf
collection	DOAJ
language	English
format	Article
sources	DOAJ
author	Jung-Chu Lin
spellingShingle	Jung-Chu Lin Does the inverse exchange-traded fund trading convey a bearish signal to the market? Investment Management & Financial Innovations
author_facet	Jung-Chu Lin
author_sort	Jung-Chu Lin
title	Does the inverse exchange-traded fund trading convey a bearish signal to the market?
title_short	Does the inverse exchange-traded fund trading convey a bearish signal to the market?
title_full	Does the inverse exchange-traded fund trading convey a bearish signal to the market?
title_fullStr	Does the inverse exchange-traded fund trading convey a bearish signal to the market?
title_full_unstemmed	Does the inverse exchange-traded fund trading convey a bearish signal to the market?
title_sort	does the inverse exchange-traded fund trading convey a bearish signal to the market?
publisher	LLC "CPC "Business Perspectives"
series	Investment Management & Financial Innovations
issn	1810-4967 1812-9358
publishDate	2016-07-01
description	This paper investigates whether inverse exchange-traded fund (ETF) trading can predict future negative underlying index returns. Using inverse ETF’s turnover rates and price volatilities to represent trading activities, this paper discovers that inverse ETF trading is significantly and positively related to future index returns and infers that the trading of inverse ETFs may not reflect informed pessimistic trading and cannot convey a bearish signal to the market. The trading activities in inverse ETFs do provide information about future index returns, yet what they reflect may be a lagging or less-informed bearish signal
url	https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/7306/imfi_en_2016_02cont2_Lin.pdf
work_keys_str_mv	AT jungchulin doestheinverseexchangetradedfundtradingconveyabearishsignaltothemarket
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Does the inverse exchange-traded fund trading convey a bearish signal to the market?

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