importance in recent years. We report that arbitrage activity occurs between ETFs and the underlying assets. Then, we show that … arbitrage activity may induce contagion. Flash Crash ; contagion ; ETF ; stocks ; arbitrage ; mispricing ; overvaluation …

with the index. Arbitrage activity is a necessary component in minimizing the price discrepancy between ETFs and the … underlying securities. During turbulent market episodes, however, arbitrage is limited and ETF prices diverge from those of the …