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hal.structure.identifier
dc.contributor.authorDe Winne, Rudy*
hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorGresse, Carole*
hal.structure.identifier
dc.contributor.authorPlatten, Isabelle*
dc.date.accessioned2014-05-21T11:47:06Z
dc.date.available2014-05-21T11:47:06Z
dc.date.issued2014-07
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/13360
dc.language.isoenen
dc.subjectExchange-traded fund (ETF)en
dc.subjectIndex tradingen
dc.subjectTransaction costsen
dc.subjectLiquidityen
dc.subjectRisk sharingen
dc.subject.ddc332en
dc.subject.classificationjelG.G1.G11en
dc.subject.classificationjelG.G1.G12en
dc.subject.classificationjelG.G1.G14en
dc.subject.classificationjelG.G2.G23
dc.titleLiquidity and Risk Sharing Benefits from Opening an ETF Market with Liquidity Providers: Evidence from the CAC 40 Indexen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherUniversité Catholique de Louvain;Belgique
dc.description.abstractenThis article examines how the introduction of an ETF replicating a stock index impacts on the liquidity of the underlying stocks when the ETF market involves liquidity providers (LPs). We find that index stock spreads decline, relative to those of non-index stocks, after the introduction of the ETF but this liquidity improvement is not driven by changes in adverse selection costs or recognition effects. By contrast, we show that it is mainly explained by a decrease in order processing and order imbalance costs. This most probably results from additional risk sharing capacities provided by increased cross-market trading and LPs’ liquidity provision in low-liquidity times.en
dc.relation.isversionofjnlnameInternational Review of Financial Analysis
dc.relation.isversionofjnlvol34
dc.relation.isversionofjnldate2014-07
dc.relation.isversionofjnlpages31–43en
dc.relation.isversionofdoi10.1016/j.irfa.2014.04.003en
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelEconomie financièreen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
hal.identifierhal-01632503*
hal.version1*
hal.update.actionupdateMetadata*
hal.author.functionaut
hal.author.functionaut
hal.author.functionaut


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