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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

<a href="/cs/project/EF19_073%2F0016670" target="_blank" >EF19_073/0016670: Interní grantová schémata Mendelovy univerzity v Brně</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2023

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Finance a úvěr-Czech Journal of Economics and Finance

ISSN

0015-1920

e-ISSN

2464-7683

Svazek periodika

73

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

25

Strana od-do

56-80

Kód UT WoS článku

000935299900001

EID výsledku v databázi Scopus

2-s2.0-85148581692