Liquidity in European Equity ETFs: What Really Matters?
Download full text from publisher
Other versions of this item:
- Laurent Deville & A. Calamia & Fabrice Riva, 2013. "Liquidity in European Equity ETFs: What Really Matters?," Post-Print halshs-00861646, HAL.
- F. Riva & A. Calamia & L. Deville, 2013. "Liquidity in European equity ETFs: What really matters?," Post-Print hal-00846610, HAL.
References listed on IDEAS
- Hassine, Marlène & Roncalli, Thierry, 2013. "Measuring Performance of Exchange Traded Funds," MPRA Paper 44298, University Library of Munich, Germany.
- Laurent Deville & Fabrice Riva, 2007.
"Liquidity and Arbitrage in Options Markets: A Survival Analysis Approach,"
Review of Finance,
European Finance Association, vol. 11(3), pages 497-525.
- Laurent Deville & Fabrice Riva, 2007. "Liquidity and arbitrage in options markets: A survival analysis approach," Post-Print halshs-00673244, HAL.
- Laurent Deville & Fabrice Riva, 2007. "Liquidity and Arbitrage in Options Markets: A SurvivalAnalysis Approach," Post-Print halshs-00162221, HAL.
- Tarun Chordia, 2001. "Market Liquidity and Trading Activity," Journal of Finance, American Finance Association, vol. 56(2), pages 501-530, April.
- Amihud, Yakov, 2002. "Illiquidity and stock returns: cross-section and time-series effects," Journal of Financial Markets, Elsevier, vol. 5(1), pages 31-56, January.
- repec:dau:papers:123456789/1381 is not listed on IDEAS
- Agapova, Anna, 2011. "Conventional mutual index funds versus exchange-traded funds," Journal of Financial Markets, Elsevier, vol. 14(2), pages 323-343, May.
- McInish, Thomas H & Wood, Robert A, 1992. " An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks," Journal of Finance, American Finance Association, vol. 47(2), pages 753-764, June.
- Mitchell A. Petersen, 2009.
"Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches,"
Review of Financial Studies,
Society for Financial Studies, vol. 22(1), pages 435-480, January.
- Mitchell A. Petersen, 2005. "Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches," NBER Working Papers 11280, National Bureau of Economic Research, Inc.
- Subrahmanyam, Avanidhar, 1991. "A Theory of Trading in Stock Index Futures," Review of Financial Studies, Society for Financial Studies, vol. 4(1), pages 17-51.
- Goyenko, Ruslan Y. & Holden, Craig W. & Trzcinka, Charles A., 2009. "Do liquidity measures measure liquidity?," Journal of Financial Economics, Elsevier, vol. 92(2), pages 153-181, May.
- Fremault, Anne, 1991. "Stock Index Futures and Index Arbitrage in a Rational Expectations Model," The Journal of Business, University of Chicago Press, vol. 64(4), pages 523-547, October.
- O'Hara, Maureen & Ye, Mao, 2011. "Is market fragmentation harming market quality?," Journal of Financial Economics, Elsevier, vol. 100(3), pages 459-474, June.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Lechman, Ewa & Marszk, Adam, 2015.
"ICT technologies and financial innovations: The case of exchange traded funds in Brazil, Japan, Mexico, South Korea and the United States,"
Technological Forecasting and Social Change,
Elsevier, vol. 99(C), pages 355-376.
- Lechman, Ewa & Marszk, Adam, 2014. "ICT technologies and financial innovations: the case of Exchange Traded Funds in Brazil, Japan, Mexico, South Korea and the United States," MPRA Paper 60654, University Library of Munich, Germany.
More about this item
KeywordsETFs; liquidity; bid-ask spread; competition; fragmentation; synthetic replication; physical replication;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-05-22 (All new papers)
- NEP-EEC-2013-05-22 (European Economics)
- NEP-MST-2013-05-22 (Market Microstructure)
StatisticsAccess and download statistics
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:gre:wpaper:2013-10. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Patrice Bougette). General contact details of provider: http://edirc.repec.org/data/credcfr.html .
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.
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.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.