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Do ETFs increase the comovements of their underlying assets? Evidence from a switch in ETF replication technique

dc.contributor.authorMarta, Thomas
hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorRiva, Fabrice
dc.date.accessioned2023-02-02T12:15:49Z
dc.date.available2023-02-02T12:15:49Z
dc.date.issued2022
dc.identifier.urihttps://basepub.dauphine.psl.eu/handle/123456789/23950
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 that 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.subject.ddclabelEconomie financièreen
dc.relation.conftitleFMA 2022 Annual Meetingen
dc.relation.confdate2022-10
dc.relation.confcityAtlantaen
dc.relation.confcountryEtats-Unis d'Amériqueen
dc.relation.forthcomingnonen
dc.description.ssrncandidatenon
dc.description.halcandidateouien
dc.description.readershipnon-rechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewednonen
dc.date.updated2023-01-20T15:31:45Z
hal.identifierhal-03969602
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.transferred2023-02-02T12:17:56Z
hal.update-error.statusnewSubmission
hal.author.functionaut
hal.author.functionaut


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