Consistent spikes on VNQI price

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DaveG
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Consistent spikes on VNQI price

Postby DaveG » Wed May 22, 2013 10:25 am

I've noticed that the daily price chart of VNQI (Vanguard Global ex-US Real Estate ETF) consistently has significant, brief spikes. Every day, it seems, there are 4 or 5 short-lived jumps in price. Can anyone explain what might be causing such behavior? I ask only because I am curious, not because I plan to take any action based on this phenomenon. It's just that I don't remember ever seeing a price chart that has similar behavior.

Here's a link to yahoo finance 5-day price chart. http://finance.yahoo.com/q/bc?s=VNQI+Basic+Chart&t=5d
He/She:39/38, Kids:6/2 | Stock (72%): 20% US LrgCap, 20% Intl Developed, 8% US MidCap, 8% US SmlCap, 7% Intl EM & Frontier, 5% RE, 4% JnkBnd | Bond (25%): 21% USIndx, 4% TIPS | Commodities (3%)

inbox788
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Re: Consistent spikes on VNQI price

Postby inbox788 » Wed May 22, 2013 12:06 pm

The spikes you see are relatively small, maybe 3%? It's a relatively illiquid fund, I would have thought more? Only 100,000 shares are traded on average. That's less than $10m a day, so a fund buying $1m might cause the spike. Also, I've seen data errors where time is wrong show up as brief spikes. Could be both effects.

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G-Money
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Re: Consistent spikes on VNQI price

Postby G-Money » Wed May 22, 2013 1:10 pm

Could be liquidity. Could be the mind's tendency to find patterns where none exist. How consistent are these spikes? Every day? Multiple times a day? Once per week? How significant is significant? A 1% spike? 5%? How persistent is this trend? I'd look back over more than just the last 5 trading days.

I use mutual funds, so I've never spent much time thinking about liquidity or daily price movements.
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MnD
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Re: Consistent spikes on VNQI price

Postby MnD » Wed May 22, 2013 2:35 pm

I'd guess the spikes are small retail investors entering "market" buy orders instead of entering limit orders around the mid-point of the bid-ask spread.

livesoft
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Re: Consistent spikes on VNQI price

Postby livesoft » Wed May 22, 2013 4:08 pm

I've noticed that this week Yahoo intraday charts and quotes are messed up for some ETFs.

Whenever I see something unusual like the spikes you mention, I try a different source for the same info.
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DaveG
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Re: Consistent spikes on VNQI price

Postby DaveG » Wed May 22, 2013 4:37 pm

Thanks Livesoft. You're right....looking at the chart on Google Finance shows a different, less-spiky picture.
He/She:39/38, Kids:6/2 | Stock (72%): 20% US LrgCap, 20% Intl Developed, 8% US MidCap, 8% US SmlCap, 7% Intl EM & Frontier, 5% RE, 4% JnkBnd | Bond (25%): 21% USIndx, 4% TIPS | Commodities (3%)

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grabiner
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Re: Consistent spikes on VNQI price

Postby grabiner » Wed May 22, 2013 8:26 pm

MnD wrote:I'd guess the spikes are small retail investors entering "market" buy orders instead of entering limit orders around the mid-point of the bid-ask spread.


While that isn't the situation for this particular fund, it is a common phenomenon with low-volume ETFs. For example, look at the May 17 chart for EEMS:

http://quote.morningstar.com/etf/chart. ... region=USA

Most of the morning trades were around $51.10, but someone probably placed a market order to sell and sold at $50.31.

The way to protect yourself against being on the wrong side of one of these trades is to use only limit orders for low-volume ETFs. If you place a market order to sell into a spread of $49.95-$50.05, but someone else accepts the $49.95 order before you place your order, you will sell at the next-best offer, which might be $49.93 but also might be $49.00. If you place a limit order to sell at $49.95 and the buy order at $49.95 is no longer there, you'll see what the new order is and can accept it or wait for other orders to arrive.
David Grabiner


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