PT  - JOURNAL ARTICLE
AU  - Benjamin M. Blau
AU  - Tyler J. Brough
TI  - Is the Trading of Inverse ETFs a Bearish Signal?
AID  - 10.3905/jot.2011.6.3.032
DP  - 2011 Jun 30
TA  - The Journal of Trading
PG  - 32--40
VI  - 6
IP  - 3
4099  - https://pm-research.com/content/6/3/32.short
4100  - https://pm-research.com/content/6/3/32.full
AB  - In this study, we examine the trading activity of inverse ETFs in an attempt to explain whether inverse ETF volume contains bearish information about future market prices. Our two main results are, first, inverse ETF trading activity occurs after periods of negative returns suggesting that traders of those funds are not contrarian traders and are instead momentum traders. Second, we find that inverse ETF trading activity does not contain any predictive ability about future index price movements. Combined with our first finding, the second result indicates that there is little, if any, information contained in the trading of inverse ETFs. These conclusions hold when we condition on whether the ETF is leveraged and unleveraged.TOPICS: Exchange-traded funds and applications, exchanges/markets/clearinghouses, volatility measures