- Abner, D. (2016). The ETF handbook. How to value and trade exchange-traded funds (2nd edition). John Wiley & Sons.
- Antoniou, A., Koutmos, G., & Pericli, A. (2005). Index futures and positive feedback trading: evidence from major stock exchanges. Journal of Empirical Finance, 12(2), 219–238. https://doi.org/10.1016/j.jempfin.2003.11.003
- Barberis, N., Shleifer, A., & Vishny, R. (1998). A model of investor sentiment. Journal of Financial Economics, 9(3), 307–343. https://doi.org/10.1016/S0304-405X(98)00027-0
- Charteris, A., Chau, F., Gavriilidis, K., & Kallintrakis, V. (2014). Premiums, discounts and feedback trading: evidence from emerging markets' ETFs. International Review of Financial Analysis, 35, 80–89. https://doi.org/10.1016/j.irfa.2014.07.010
- Charteris, A., & Kallinterakis, V. (2021). Feedback trading in retail-dominated assets: Evidence from the gold bullion coin market, International Review of Financial Analysis, 75, https://doi.org/10.1016/j.irfa.2021.101727
- Charteris, A., & Musadziruma, A. (2017), Feedback trading in stock index futures: Evidence from South Africa, Research in International Business and Finance, 42, 1289–1297.
- Chau, F., Deesomsak, R., & Lau, M. (2011). Investor sentiment and feedback trading: Evidence from the exchange traded funds market. International Review of Financial Analysis, 20, 292–305. https://doi.org/10.1016/j.irfa.2011.06.006
- Chen, J., & McMillan, D.G. (2020). Stock returns, illiquidity and feedback trading. Review of Accounting and Finance, 19(2), 135-145. https://doi.org/10.1108/RAF-02-2017-0024
- Cherry, J. (2004). The limits of arbitrage: evidence from exchange traded funds. Working Paper, University of California-Berkeley. http://dx.doi.org/10.2139/ssrn.628061
- Da Costa Neto, A.F., Klotzle, M.C., & Pinto, A.C.F. (2019). Investor behavior in ETF markets: A comparative study between the US and emerging markets. International Journal of Emerging Markets, 14(5), 944–966. https://doi.org/10.1108/IJOEM-04-2018-0195
- De Long, J.B., Shleifer, A., Summers, L.H., & Waldmann, R.J. (1990). Positive feedback investment strategies and destabilizing rational speculation. Journal of Finance, 45(2), 375-379. https://doi.org/10.2307/2328662
- DeFusco, R., Ivanov, S., & Karels, G. (2011). The exchange traded funds' pricing deviation, Analysis and forecasts. Journal of Economics and Finance, 35, 181– https://doi.org/10.1007/s12197-009-9090-6
- Deville, L. (2008). Exchange Traded Funds: History, Trading, and Research. Handbook of Financial Engineering. 67-97 (Springer).
- Dorfleitner, G., Gerl, A., & Gerer J. (2016). The pricing efficiency of exchange-traded commodities. Review of Managerial Science, 12, 255-284. https://doi.org/10.1007/S11846-016-0221-0
- Engel, A., & Sarkar, D. (2006). Premiums-discounts and exchange traded funds, Journal of Derivatives, 13(4), 27– https://doi.org/10.3905/jod.2006.635418
- Farmer, J.D., & Joshi, S. (2002). The price dynamics of common trading strategies. Journal of Economic Behavior and Organization, 49(2), 149–171. https://doi.org/10.1016/S0167-2681(02)00065-3.
https://tse.ir
https://www.ime.co.ir
https:// www.tsetmc.ir
- International investment funds assosiation (IIFA), (2022). Worldwide regulated open-end fund assets flows second quarter. Available at: https://iifa.ca/page/industry_statistics.
- Ivanov, S. (2013). The influence of ETFs on the price discovery of gold, silver and oil. Journal of Economics and Finance, 37, 453-462. https://doi.org/10.1007/s12197-011-9205-8.
- Johnson, WF. (2009). Tracking errors of exchange traded funds. Journal of Asset Management, 10(4), 253–262. https://doi.org/10.1057/jam.2009.10
- Kallinterakis, V., & Kaur, S. (2010). On the impact of exchange-traded funds over noise trading: Evidence from European stock exchanges. In G. N. Gregoriou (Ed.), Handbook of trading (pp. 199–212). Europe: McGraw-Hill. https://doi.org/10.1016/j.irfa.2010.08.005
- Kallinterakis, V., Leite Ferreira, M. (2007). Herding and feedback trading: Evidence on their relationship at the macro level. SSRN Working Paper, 984681. https://dx.doi.org/10.2139/ssrn.984681
- Kallinterakis, V., Liu, F., Pantelous, A.A., & Shao, J. (2020), Pricing inefficiencies and feedback trading: Evidence from country ETFs, International Review of Financial Analysis, 70. https://doi.org/10.1016/j.irfa.2020.101498
- Karaa, R. et al. (2021). Do investors feedback trade in the Bitcoin—and why? European Journal of Finance, (15 Sep), https://doi.org/10.1080/1351847X.2021.1973054
- Kuttu, S., & Bokpin, G.A. (2017). Feedback trading and autocorrelation patterns in sub-Saharan African Equity markets, Emerging Markets Finance and Trade, 53(1), 213–225. https://doi.org/10.1080/1540496X.2016.1178111
- Kyrkilis, D., Koulakiotis, A., Babalos, V., & Kyriakou, M. (2018), Feedback trading and short-term return dynamics in Athens Stock Exchange: Novel evidence and the role of size, International Journal of Managerial Finance, 14(5), 574-590. https://doi.org/10.1108/IJMF-07-2017-0145
- Mallika, M., & Sulphey, M. (2018). Gold exchange traded fund- price discovery and performance analysis. Scientific Annals of Economics and Business, 65(4), 477-195. https://doi.org/10.2478/saeb-2018-0024
- Odean, T. (1998). Are investors reluctant to realize their losses? Journal of finance, 53(5), 1775-1798. https://doi.org/10.1111/0022-1082.00072
- Purohit, H., & Malhotra, N. (2015). Pricing efficiency and performance of exchange traded funds in India. The IUP Journal of Applied Finance, 21(3). https://ssrn.com/abstract=2671810
- Sentana, E., & Wadhwani, S. (1992). Feedback traders and stock return autocorrelations: Evidence from a century of daily data. The Economic Journal, 102(411), 415–425. https://doi.org/10.1016/S0261-5606(97)00021-1
- Shefrin, H., & Statman, M. (1985). The disposition to sell winners too early and ride losers too long: Theory and evidence. Journal of Finance, 40(3), 777-790. https://doi.org/10.2307/2327802
- Wagner, M., Tek Lee, J., & Margaritis, D. (2022). Mutual fund flows and seasonalities in stock returns, Journal of Banking and Finance, 144. https://doi.org/10.1016/j.jbankfin.2022.106623
- World Federation of Exchanges (WFE), (2022). Statistics: Monthly Reports. Available at: http://www.world-exchanges.org/home/index.php/statistics/monthly-reports.
|
