Paper: "On the Economic Consequences of Index-Linked Investing"
Paper is here.
"Some evidence that indices are no longer mere carriers of information, but that they and their associated index-linked investing strategies have become so popular that they are generating new stock market phenomena in their own right."Also:
"Investor reactions to index movements sometimes require increasing or decreasing exposure to the index, so feedback loops may arise in which shocks to prices lead to further demand, further shocks to prices, and further economic consequences. These cycles can operate at frequencies of both years and seconds."
1 comment:
Thanks. I was looking for something on this topic.
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