دانلود مقاله ISI انگلیسی شماره 161690
ترجمه فارسی عنوان مقاله

سلسله مراتب گسسته از اندازه ها و عملکرد در مبادله مبادلات صندوق جهان

عنوان انگلیسی
Discrete hierarchy of sizes and performances in the exchange-traded fund universe
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
161690 2017 13 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Physica A: Statistical Mechanics and its Applications, Volume 469, 1 March 2017, Pages 111-123

پیش نمایش مقاله
پیش نمایش مقاله  سلسله مراتب گسسته از اندازه ها و عملکرد در مبادله مبادلات صندوق جهان

چکیده انگلیسی

Using detailed statistical analyses of the size distribution of a universe of equity exchange-traded funds (ETFs), we discover a discrete hierarchy of sizes, which imprints a log-periodic structure on the probability distribution of ETF sizes that dominates the details of the asymptotic tail. This allows us to propose a classification of the studied universe of ETFs into seven size layers approximately organized according to a multiplicative ratio of 3.5 in their total market capitalization. Introducing a similarity metric generalizing the Herfindhal index, we find that the largest ETFs exhibit a significantly stronger intra-layer and inter-layer similarity compared with the smaller ETFs. Comparing the performance across the seven discerned ETF size layers, we find an inverse size effect, namely large ETFs perform significantly better than the small ones both in 2014 and 2015.