Do ETFs increase the comovements of their underlying assets? Evidence from a switch in ETF replication technique
Riva, Fabrice; Marta, Thomas (2022), Do ETFs increase the comovements of their underlying assets? Evidence from a switch in ETF replication technique, EUROFIDAI-ESSEC Paris December Finance Meeting 2022, 2022-12, Paris, France
TypeCommunication / Conférence
Conference titleEUROFIDAI-ESSEC Paris December Finance Meeting 2022
MetadataShow full item record
Dauphine Recherches en Management [DRM]
Abstract (EN)We investigate the impact of Exchange-Traded Funds (ETFs) on the comovements of their constituent securities using a novel identification which exploits the switch from synthetic to physical replication of a large French ETF. After the switch, constituent stocks experience greater commonality, in both returns and liquidity. For both the full sample of ETF constituents and the least liquid ETF constituents, a larger part of the variation in individual stock returns or liquidity is explained by market-wide variations. We present evidence that ETF arbitrage is the transmission mechanism of the comovements. Moreover, we show that the comovements do not appear excessive.
Subjects / KeywordsETFs; Commonality
Showing items related by title and author.
Do ETFs increase the comovements of their underlying assets? Evidence from a switch in ETF replication technique Marta, Thomas; Riva, Fabrice (2022) Communication / Conférence
How does the Introduction of an ETF Market with Liquidity Providers Impact the Liquidity of the Underlying Stocks? Platten, Isabelle; Gresse, Carole; De Winne, Rudy (2009-09) Communication / Conférence
Calamia, Anna; Deville, Laurent; Riva, Fabrice (2019) Article accepté pour publication ou publié
Andriot, Paul; Larceneux, Fabrice; Simon, Arnaud (2019) Communication / Conférence
Direct and Indirect Effects of Index ETFs on Spot-Futures Pricing and Liquidity : Evidence from the CAC 40 Index de Séverac, Béatrice; Deville, Laurent; Gresse, Carole (2014) Article accepté pour publication ou publié