Date of Award
5-2014
Degree Type
Report
Degree Name
Master of Science (MS)
Department
Economics and Finance
Committee Chair(s)
Tyler Brough
Committee
Tyler Brough
Committee
Ryan Whitby
Committee
Benjamin Blau
Abstract
Leveraged and Inverse Leveraged ETFs were introduced in the summer of 2006 and have been becoming popular ever since. They became extremely popular during the nancial crisis of 2008 and that made them the obvious scapegoat taking the blame for the increase in volatility during that period. This paper examines how the S & P 500 market quality dened in terms of liquidity, volatility and eciency was aected after the introduction of 2x and 3x leveraged and inverse leveraged ETFs. I nd that after the introduction of the 2x leveraged and inverse leveraged ETFs, the market volatility decreased while the market liquidity and eciency improved. After the introduction of the 3x leveraged and inverse leveraged ETFs, the market quality as a whole improved.
Recommended Citation
Shashi, Prem, "Did Market Quality Change After the Introduction of Leveraged ETF's" (2014). All Graduate Plan B and other Reports, Spring 1920 to Spring 2023. 425.
https://digitalcommons.usu.edu/gradreports/425
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