Do ETFs increase the commonality in liquidity of underlying stocks?
Year of publication: |
2021
|
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Authors: | Agarwal, Vikas ; Hanouna, Paul ; Moussawi, Rabih ; Stahel, Christof W. |
Publisher: |
Cologne : University of Cologne, Centre for Financial Research (CFR) |
Subject: | Exchange-Traded Funds (ETFs) | Liquidity | Commonality | Arbitrage | Trading Halts | Index Reconstitution |
Series: | CFR Working Paper ; 21-04 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 1752612590 [GVK] hdl:10419/232548 [Handle] RePEc:zbw:cfrwps:2104 [RePEc] |
Classification: | G10 - General Financial Markets. General ; G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies ; G23 - Pension Funds; Other Private Financial Institutions |
Source: |
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