Pricing inefficiencies and feedback trading: evidence from country ETFs

Vasileios Kallinterakis, Fei Liu, Athanasios Pantelous, Jia Shao

Research output: Contribution to journalArticlepeer-review


In view of the established presence of wide deviations of US-listed country ETFs’ prices from their net asset values, we study whether feedback trading exists in this category of ETFs and whether it varies with their premiums and discounts. Using a sample of nineteen country ETFs for the 2000-2019 window, we find that feedback trading is present in several of them, particularly those targeting Asia Pacific markets. Feedback trading varies with the sign (i.e., premiums and discounts), level, and nature (observed/forecast) of these deviations, as well as prior to and after the outbreak of the 2008 crisis. Of particular note is the widespread feed-back trading reported across the vast majority of country ETFs on those days for which there exist successful predictions of premiums/discounts, a fact suggesting that country ETFs’ premiums/discounts contain useful information as per their trading dynamics.
Original languageEnglish
Article number101498
JournalInternational Review of Financial Analysis
Publication statusPublished - 16 Jul 2020


  • Feedback trading
  • Exchange traded funds
  • Premium
  • Discount


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