The price of international equity ETFs : the role of relative liquidity

Atanasova, Christina (Simon Fraser University, Canada) ; Weisskopf, Jean-Philippe (Ecole hôtelière de Lausanne, HES-SO // University of Applied Sciences Western Switzerland)

We examine the effect of the relative liquidity of international equity exchange-traded funds (ETFs) and their constituent portfolios on the price difference between the fund’s market prices and its net asset values. We use data for a sample of 584 international equity ETFs listed in the U.S. over the period January 2012 to December 2017 and find that higher liquidity is associated with a lower absolute value of the ETF premium/discount. We document a positive relationship between liquidity and the price convergence of the ETFs and their underlying shares. The effect of liquidity on convergence is stronger for ETFs with high holding costs.


Keywords:
Article Type:
scientifique
Faculty:
Economie et Services
School:
EHL
Institute:
Aucun institut
Subject(s):
Economie/gestion
Date:
2020-03
Pagination:
19 p.
Published in:
Journal of international financial markets, institutions and money
Numeration (vol. no.):
2020, vol. 65, article no 101190, pp. 1-19
DOI:
ISSN:
1042-4431
Appears in Collection:

Note: The file is under embargo until: 2022-03-01


 Record created 2020-07-31, last modified 2020-10-27

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