This article seeks to determine the migration of exchange-traded fund (ETF) liquidity and its factor constituents in the U.S. market over time, with the ultimate goal of making the ETF market more efficient and transparent. Using a set of factors commonly thought to impact liquidity, the authors...

There are about 900 ETFs trading in the market, of which a large number appear to be duplicative in design and coverage. Some of them possibly serve as a tool for issuing firms to gain market share. We suspect that many of the newer funds have low liquidity, asynchronous trading, and wider...