We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Confirmation of T+35 Failures-To-Deliver Cycles: Evidence from GameStop Corp.
- Authors
PASTOREK, Daniel; DRÁBEK, Michal; ALBRECHT, Peter
- Abstract
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.
- Subjects
EXCHANGE traded funds; MARKET makers
- Publication
Finance a Uver: Czech Journal of Economics & Finance, 2023, Vol 73, Issue 1, p56
- ISSN
0015-1920
- Publication type
Article
- DOI
10.32065/CJEF.2023.01.03