Trading CSR/CSE leveraged inefficiency
by Vasiliki Basdekidou
International Journal of Financial Engineering and Risk Management (IJFERM), Vol. 3, No. 1, 2019

Abstract: The paper is about the inefficiency appearing in leveraged trading instruments with CSR/CSE firms as benchmark index. The subject is important because leveraged ETFs have grown in popularity. The principal target is to introduce a framework for personalised tactics when trading leveraged ETFs. For this purpose, the concept CSR/CSE leverage inefficiency is defined initially as an innovative term benchmarked a 3D array and then the dimensions, functionalities and trading returns of this inefficiency are discussed. The paper's main contribution is the empirically-tested conclusion that after the incorporation of the CSR/CSE leverages inefficiency in trading: 1) in choppy markets, institutional money accumulates profit entirely with overnight-positions in ethical non-leveraged ETFs; 2) in a trending markets, the profit occurs in day-trading on non-ethical leveraged instruments. Finally, according to a comparative return analysis, the best results are received by CSR/CSE ETFs in sideways and choppy markets after employing an overnight-position return trading strategy.

Online publication date: Fri, 07-Dec-2018

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