dc.contributor.author | Zhang, William | en_US |
dc.date.accessioned | 2015-07-16T16:26:23Z | |
dc.date.created | 2015-05 | en_US |
dc.date.issued | 2015-06-26 | en_US |
dc.date.submitted | 2015 | en_US |
dc.identifier.citation | Zhang, William. 2015. The Destabilizing Effects of ETFs and Options on Underlying Stock Returns. Bachelor's thesis, Harvard College. | en_US |
dc.identifier.uri | http://nrs.harvard.edu/urn-3:HUL.InstRepos:17417583 | |
dc.description.abstract | This paper explores the role that ETFs and options have on the underlying stock return. Using a dataset of 400 stocks over a five year period, I examine the effect that ETF rebalancing and option hedging have on stock returns. I find evidence that rebalancing demands for ETFs increase the volatility of the end-of-day returns of the constituent stocks. In addition, I conclude that options have a meaningful positive impact on the underlying stock's daily momentum. These results suggest that stock returns are destabilized by these two financial instruments. | en_US |
dc.description.sponsorship | Applied Mathematics | en_US |
dc.format.mimetype | application/pdf | en_US |
dc.language.iso | en | en_US |
dash.license | META_ONLY | en_US |
dc.subject | Economics, Finance | en_US |
dc.title | The Destabilizing Effects of ETFs and Options on Underlying Stock Returns | en_US |
dc.type | Thesis or Dissertation | en_US |
dash.depositing.author | Zhang, William | en_US |
dash.embargo.until | 10000-01-01 | |
thesis.degree.date | 2015 | en_US |
thesis.degree.grantor | Harvard College | en_US |
thesis.degree.level | Undergraduate | en_US |
thesis.degree.name | AB | en_US |
dc.type.material | text | en_US |
thesis.degree.department | Applied Mathematics | en_US |
dash.identifier.vireo | http://etds.lib.harvard.edu/college/admin/view/80 | en_US |
dash.title.page | 1 | en_US |
dash.identifier.drs | urn-3:HUL.DRS.OBJECT:25267879 | en_US |
dash.contributor.affiliated | Zhang, William | |