IDEAS home Printed from https://ideas.repec.org/a/ids/ijfsmg/v6y2013i3p252-261.html
   My bibliography  Save this article

Does ETF arbitrage exist?

Author

Listed:
  • Stoyu I. Ivanov

Abstract

This study examines whether Exchange Traded Funds' (ETF) arbitrage which ensures that the ETF closely tracks its underlying index exists on intradaily basis. I document that this arbitrage mechanism does exist and varies across ETFs. DIA and QQQQ have the most dynamic arbitrage activity; whereas SPY and IWM exhibit less active arbitrage trading. The paper also finds that the ETF changes in volume are not autocorrelated but that the ETF pricing deviations exhibit strong autocorrelation.

Suggested Citation

  • Stoyu I. Ivanov, 2013. "Does ETF arbitrage exist?," International Journal of Financial Services Management, Inderscience Enterprises Ltd, vol. 6(3), pages 252-261.
    • Handle: RePEc:ids:ijfsmg:v:6:y:2013:i:3:p:252-261
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=58071
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:ijfsmg:v:6:y:2013:i:3:p:252-261. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=76 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.