Do ETFs Increase Volatility?

Due to their low trading costs, exchange-traded funds (ETFs) are a potential catalyst for short-horizon liquidity traders. The liquidity shocks can propagate to the under-lying securities through the arbitrage channel, and ETFs may increase the nonfundamental volatility of the securities in their ba...

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Bibliographic Details

Published in:	The Journal of finance (New York) Vol. 73; no. 6; pp. 2471 - 2535
Main Authors:	BEN-DAVID, ITZHAK, FRANZONI, FRANCESCO, MOUSSAWI, RABIH
Format:	Journal Article
Language:	English
Published:	Cambridge Wiley Periodicals, Inc 01.12.2018 Blackwell Publishers Inc
Subjects:	Arbitrage Exchange traded funds Ownership Prices Securities Stocks Trading Volatility
ISSN:	0022-1082, 1540-6261
Online Access:	Get full text
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