Effects of commodity exchange-traded note introductions: Adjustment for seasonality
This study investigates the impacts of the introductions of commodity exchange-traded notes on the corresponding underlying commodity futures markets around their issuance announcement and listing dates. Focusing on the Korean market, a leading and influential emerging market, we adopt an event stud...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2020-09-01
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| Series: | Borsa Istanbul Review |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S221484502030017X |
| _version_ | 1828108836666343424 |
|---|---|
| author | Jinyoung Yu Doojin Ryu |
| author_facet | Jinyoung Yu Doojin Ryu |
| author_sort | Jinyoung Yu |
| collection | DOAJ |
| description | This study investigates the impacts of the introductions of commodity exchange-traded notes on the corresponding underlying commodity futures markets around their issuance announcement and listing dates. Focusing on the Korean market, a leading and influential emerging market, we adopt an event study approach to analyze changes in futures returns and volatilities. Considering the potential cyclicality and seasonality of commodity futures dynamics, we use the Hodrick-Prescott filter to decompose the return processes into four separate components, that is, the trend, seasonal, cyclical, and irrational components, and we analyze only the irrational component as the abnormal excess return. We observe significant but temporary abnormal returns before issuance announcements, implying a hedging effect; significant negative abnormal returns after announcements of inverse products, indicating a short-sale constraint removal effect; and significant positive returns on the announcement dates of leveraged product portfolios, indicating a signaling effect. We also find that the volatility of the seasonal component significantly decreases after the introductions of leveraged products. |
| first_indexed | 2024-04-11T10:52:08Z |
| format | Article |
| id | doaj.art-93420d6f43dd4ee0a8bbc4219c7696b3 |
| institution | Directory Open Access Journal |
| issn | 2214-8450 |
| language | English |
| last_indexed | 2024-04-11T10:52:08Z |
| publishDate | 2020-09-01 |
| publisher | Elsevier |
| record_format | Article |
| series | Borsa Istanbul Review |
| spelling | doaj.art-93420d6f43dd4ee0a8bbc4219c7696b32022-12-22T04:28:53ZengElsevierBorsa Istanbul Review2214-84502020-09-01203244256Effects of commodity exchange-traded note introductions: Adjustment for seasonalityJinyoung Yu0Doojin Ryu1College of Economics, Sungkyunkwan University, Seoul, Republic of KoreaCorresponding author. College of Economics, Sungkyunkwan University, 25-2, Sungkyunkwan-ro, Jongno-gu, Seoul, 03063, Republic of Korea.; College of Economics, Sungkyunkwan University, Seoul, Republic of KoreaThis study investigates the impacts of the introductions of commodity exchange-traded notes on the corresponding underlying commodity futures markets around their issuance announcement and listing dates. Focusing on the Korean market, a leading and influential emerging market, we adopt an event study approach to analyze changes in futures returns and volatilities. Considering the potential cyclicality and seasonality of commodity futures dynamics, we use the Hodrick-Prescott filter to decompose the return processes into four separate components, that is, the trend, seasonal, cyclical, and irrational components, and we analyze only the irrational component as the abnormal excess return. We observe significant but temporary abnormal returns before issuance announcements, implying a hedging effect; significant negative abnormal returns after announcements of inverse products, indicating a short-sale constraint removal effect; and significant positive returns on the announcement dates of leveraged product portfolios, indicating a signaling effect. We also find that the volatility of the seasonal component significantly decreases after the introductions of leveraged products.http://www.sciencedirect.com/science/article/pii/S221484502030017XG14G15G23 |
| spellingShingle | Jinyoung Yu Doojin Ryu Effects of commodity exchange-traded note introductions: Adjustment for seasonality Borsa Istanbul Review G14 G15 G23 |
| title | Effects of commodity exchange-traded note introductions: Adjustment for seasonality |
| title_full | Effects of commodity exchange-traded note introductions: Adjustment for seasonality |
| title_fullStr | Effects of commodity exchange-traded note introductions: Adjustment for seasonality |
| title_full_unstemmed | Effects of commodity exchange-traded note introductions: Adjustment for seasonality |
| title_short | Effects of commodity exchange-traded note introductions: Adjustment for seasonality |
| title_sort | effects of commodity exchange traded note introductions adjustment for seasonality |
| topic | G14 G15 G23 |
| url | http://www.sciencedirect.com/science/article/pii/S221484502030017X |
| work_keys_str_mv | AT jinyoungyu effectsofcommodityexchangetradednoteintroductionsadjustmentforseasonality AT doojinryu effectsofcommodityexchangetradednoteintroductionsadjustmentforseasonality |