Liquidity Improvement, Exchange-Traded Funds Flows and Mispricing

Broman, Markus S.; Shum, Pauline

doi:10.2139/ssrn.2361514

Cited by 2 publications

(2 citation statements)

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“…Following Broman and Shum (2013), the liquidity ratio LR is defined as the ratio between the index spread and the ETF spread:…”

Section: Bid-ask Spreadmentioning

confidence: 99%

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Measuring the Liquidity of ETFs: An Application to the European Market

Roncalli¹,

Zheng²

2014

JOT

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The liquidity of exchange traded funds is of utmost importance for regulators, investors and providers. However, the study of liquidity is still in its infancy. In this work, we show some stylised facts of liquidity statistics (daily/intraday spread, trading volume, etc.). We also propose a new liquidity measure combining these statistics. In this case, liquidity is a power function of the spread where the parameters are determined by actual trading volumes. We also study the relationship between the liquidity of ETFs and the liquidity of the underlying index. We show that they are correlated on a daily basis, but not in terms of intraday frequency. We also define a measure of liquidity improvement and apply it to the EURO STOXX 50 index.

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“…Following Broman and Shum (2013), the liquidity ratio LR is defined as the ratio between the index spread and the ETF spread:…”

Section: Bid-ask Spreadmentioning

confidence: 99%

“…In Figure 4, we report the distribution of V 1 when the reference period [t begin , t end ] corresponds to a trading day 12 . Curiously, the difference between the means is very small.…”

mentioning

confidence: 99%