Earticle

초록

영어

This paper investigates the eect of the ETF illiquidity on the ETF tracking error, return, and volatility. Both ETF illiquidity and ETF tracking errors are positively related and are persistent over time. The empirical tests of the liquidity adjusted capital asset pricing model show that illiquid ETFs tend to be more sensitive to underlying index returns or ETF market liquidity, and a positive liquidity premium exists in the US ETF markets. Further, I show that an ETF variance is typically larger than its NAV variance when the ETF is not actively traded. This result conrms that illiquid ETFs are much riskier when market liquidity declines sharply.

목차

Abstract
 1. Introduction
 2. ETF data and variables
  2.1. Exchange traded fund data
  2.2. Liquidity measure
  2.3. Tracking errors
 3. The eect of illiquidity on ETF tracking errors
  3.1. Arbitrage activity of authorized participants
  3.2. ETF tracking errors and illiquidity
  3.3. Panel regression
  3.4. Empirical results
 4. The eect of liquidity on ETF returns
  4.1. Liquidity adjusted asset pricing model
  4.2. Portfolio construction
  4.3. Liquidity risk
  4.4. Liquidity premium
 5. The liquidity eect on volatility
  5.1. Nontrading probability and variance dierence
  5.2. Nontrading probability and the variance
  5.3. Cross-sectional regression of variance dierence
 6. Conclusion
 Appendices
 References

키워드

저자

• Daejin Kim [ School of Business Administration Ulsan National Institute of Science and Technology ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330