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dc.contributor.authorGresse, Carole
dc.contributor.authorDe Winne, Rudy
dc.contributor.authorPlatten, Isabelle
dc.date.accessioned2011-11-29T15:46:06Z
dc.date.available2011-11-29T15:46:06Z
dc.date.issued2011-06
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/7686
dc.language.isoenen
dc.subjecttransaction costsen
dc.subjectliquidityen
dc.subjectrisk sharingen
dc.subjectExchange-traded fund (ETF)en
dc.subjectindex tradingen
dc.subject.ddc332en
dc.subject.classificationjelG11en
dc.subject.classificationjelG12en
dc.subject.classificationjelG14en
dc.titleLiquidity and Risk Sharing Benefits from the Introduction of an ETFen
dc.typeDocument de travail / Working paper
dc.contributor.editoruniversityotherUniversité Catholique de Louvain
dc.contributor.editoruniversityotherFacultes Un. Notre-Dame de la Paix Namur (FUNDP)
dc.description.abstractenThis article examines how the introduction of an ETF replicating a stock index impacts on the liquidity of the underlying stocks. We find that index stock spreads decline, relative to those of non index stocks, after the introduction of the ETF. Changes in adverse selection do not appear to be a major factor explaining this liquidity improvement. We also fail to relate it to recognition effects. By contrast, we think that it can mainly be explained by a decrease in order processing and order imbalance costs. This is consistent with the arbitrage theory of Fremault (1991) according to which increased cross-market trading provides additional risk sharing capacity.en
dc.publisher.nameUniversité Paris-Dauphine
dc.publisher.cityParis
dc.identifier.citationpages44en
dc.relation.isversionofdoihttp://dx.doi.org/10.2139/ssrn.1253181
dc.contributor.countryeditoruniversityotherBelgique
dc.description.sponsorshipprivateouien
dc.subject.ddclabelEconomie financièreen


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