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
Titre du colloqueEUROFIDAI-ESSEC Paris December Finance Meeting 2022
Date du colloque2022-12
Ville du colloqueParis
Pays du colloqueFrance
MétadonnéesAfficher la notice complète
Résumé (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.
Affichage des éléments liés par titre et auteur.
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
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