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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Vydané v:	The Journal of finance (New York) Ročník 73; číslo 6; s. 2471 - 2535
Hlavní autori:	BEN-DAVID, ITZHAK, FRANZONI, FRANCESCO, MOUSSAWI, RABIH
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Cambridge Wiley Periodicals, Inc 01.12.2018 Blackwell Publishers Inc
Predmet:	Arbitrage Exchange traded funds Ownership Prices Securities Stocks Trading Volatility
ISSN:	0022-1082, 1540-6261
On-line prístup:	Získať plný text
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