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Yinhong Zhao

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Preprint Aug 2026

Preying on Leveraged ETFs

We argue that speculators preying on the closing rebalances of leveraged exchange-traded funds (LETFs) contributed to the Korean market's extreme volatility in 2026. An LETF's mandated daily rebalance is sized by the day's return, which generates an upward-sloping demand at market close. In response, rational speculato...

Yinhong Zhao · 2 citations · ⚡1

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