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 speculators pre-position, enlarge the fund's order, and liquidate into the demand they have induced. Consistent with this mechanism, Korean stocks tracked by LETFs reverse about 75% of their first-day response to pre-open U.S. news by the next close and oscillate for several days thereafter, a pattern absent in every control group. Our quantification implies that self-reinforcing rebalance raised SK Hynix's annualized volatility from 100.0% to 136.7% over nine weeks and cost its products'predominantly retail holders 17.6% of their initial investment. Dispersing the rebalance across the trading day may backfire, whereas a flexible leverage multiple could help.
This study analyzes the microstructural mechanisms through which the rapidly expanding single-stock leveraged ETFs in the Korean capital market impede the price discovery function and amplify endogenous volatility. Based on a dynamic simulation utilizing the actual market scales of large-cap semiconductor stocks, the r...
Sun-Joong Yoon· Korean Journal of Financial...· 0 citations
Thematic exchange-traded funds (ETFs) have become a popular vehicle for gaining exposure to innovation and structural trends. This article studies how daily net flows, returns, and volatility interact in thematic equity ETFs across low- and high-volatility market conditions. With the use of daily data on more than 40 f...
Georgios Koimisis, P. Mourdoukoutas· Journal of Investing· 0 citations
Spot Ether exchange-traded funds (ETFs) gave regulated investors direct access to the second-largest cryptocurrency in July 2024. We ask whether this form of institutionalization changed the speed and state dependence of Ethereum's response to scheduled macroeconomic news. We align 84 U.S. CPI releases from 2019 to Mar...
Ricardo Teruel-Gutiérrez, Genoveva Aparicio Serrano· Digital Finance· 0 citations
This study examines the relationship between investor overconfidence and dynamic market
volatility in the Vietnamese stock market, a frontier market distinguished by rapid growth and
the dominance of individual investors. Although the overconfidence–volatility framework has
been tested across many developed and emergin...
T. Vũ, Mai Uyen, Tú Anh Trần· International Journal of Soc...· 0 citations
Market efficiency relies fundamentally on stable liquidity. Consequently, forecasting liquidity dynamics is a priority for both investors and regulators. We introduce a new tail-risk metric, Illiquidity-at-Risk (IlliQaR), designed to quantify the magnitude of extreme liquidity dry-ups. Relying upon the realized Amihud...
Demetrio Lacava, Paolo Santucci de Magistris· 0 citations
