Confirmation of T+35 Failures-To-Deliver Cycles: Evidence from GameStop Corp

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F23%3A43923109" target="_blank" >RIV/62156489:43110/23:43923109 - isvavai.cz</a>
Result on the web
<a href="https://doi.org/10.32065/CJEF.2023.01.03" target="_blank" >https://doi.org/10.32065/CJEF.2023.01.03</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.32065/CJEF.2023.01.03" target="_blank" >10.32065/CJEF.2023.01.03</a>

Result language
angličtina
Original language name
Confirmation of T+35 Failures-To-Deliver Cycles: Evidence from GameStop Corp
Original language description
In this paper, we examine the potential of cycles in the valuation of GameStop Corp. (GME) stocks, due to the unique exemptions in exchange traded fund (ETF) creation/redemption activities. In order to satisfy liquidity in the market, a market maker and/or authorised participant is allowed to sell ETF shares that have not yet been created. With the use of wavelet coherence, we find evidence that ETF Failures to Deliver (FTDs) formed consistent cycles in the day T+35 FTD clearing period. Results also confirm less consistent but repeating cycles between the T+3 and T+6 periods. To the best of our knowledge, we are the first in the literature to empirically examine the potential of these cycles and their co-movement between FTD and stock prices.
Czech name
—
Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
50206 - Finance

Project
<a href="/en/project/EF19_073%2F0016670" target="_blank" >EF19_073/0016670: Internal grants of Mendel University in Brno</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2023
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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