Show simple item record

hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorRiva, Fabrice
dc.contributor.authorMarta, Thomas
dc.date.accessioned2023-02-02T12:12:25Z
dc.date.available2023-02-02T12:12:25Z
dc.date.issued2022
dc.identifier.urihttps://basepub.dauphine.psl.eu/handle/123456789/23949
dc.language.isoenen
dc.subjectETFsen
dc.subjectCommonalityen
dc.subject.ddc332en
dc.subject.classificationjelG.G1.G10en
dc.subject.classificationjelG.G2.G20en
dc.titleDo ETFs increase the comovements of their underlying assets? Evidence from a switch in ETF replication techniqueen
dc.typeCommunication / Conférence
dc.description.abstractenWe 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.en
dc.identifier.citationpages43en
dc.subject.ddclabelEconomie financièreen
dc.relation.conftitleEUROFIDAI-ESSEC Paris December Finance Meeting 2022en
dc.relation.confdate2022-12
dc.relation.confcityParisen
dc.relation.confcountryFranceen
dc.relation.forthcomingnonen
dc.description.ssrncandidatenon
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewednonen
dc.date.updated2023-01-20T15:33:41Z
hal.identifierhal-03969597
hal.version1
dc.subject.classificationjelHALG - Financial Economics::G1 - General Financial Markets::G10 - Generalen
dc.subject.classificationjelHALG - Financial Economics::G2 - Financial Institutions and Services::G20 - Generalen
hal.date.transferred2023-02-02T12:12:27Z
hal.author.functionaut
hal.author.functionaut


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record