https://www.ft.com/content/a3077de6-4b78-4bd2-9ccd-4a870541ff2b
The study’s authors found that rebalancing by leveraged ETFs “always leads to additional momentum” — in effect amplifying the upward or downward movement of the US stock market in the final 30 minutes of trading.
Buying and selling activity by options market makers can also provide an additional boost to the momentum effects created by leveraged ETFs.
The two channels — rebalancing by leveraged ETFs and activity by options market makers — can also amplify the effect of each other if both are buying or selling at the same time.
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