Liquidity and risk sharing benefits from opening an ETF market with liquidity providers: Evidence from the CAC 40 index

被引：1

作者：

De Winne, Rudy ^{[1
]}

Gresse, Carole ^{[2
]}

Platten, Isabelle ^{[1
]}

机构：

[1] Catholic Univ Louvain, Louvain Sch Management, B-7000 Mons, Belgium

[2] Univ Paris 09, DRM, Pole Univ Leonard de Vinci, F-92916 Paris, France

来源：

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS | 2014年 / 34卷

关键词：

Exchange-traded fund (ETF); Index trading; Transaction costs; Liquidity; Risk sharing; S-AND-P-500; INDEX; PRICE; IMPACT; COMPONENTS; DIAMONDS; SECURITY; OPTIONS; FUTURES; VOLUME;

D O I：

10.1016/j.irfa.2014.04.003

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This 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. (C) 2014 Elsevier Inc. All rights reserved.

引用

页码：31 / 43

页数：13

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