کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
8942352 | 1645074 | 2018 | 18 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Do liquidity proxies measure liquidity accurately in ETFs?
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
We document the performance of liquidity proxies in ETFs. Most proxies are developed for use in equities. However, ETFs have lower asymmetric information, more algorithmic trading, and an active primary market where units are frequently created and redeemed. Using a comprehensive database of over 600 ETFs, we find that despite the differences between ETF and stock liquidity, proxies such as Daily Spread, High-Low, Close-High-Low, and Amihud all do a good job of capturing changes in effective and quoted spread transaction costs. However, no proxies accurately reflect movements in price impact or the level of actual transaction costs.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 55, July 2018, Pages 94-111
Journal: Journal of International Financial Markets, Institutions and Money - Volume 55, July 2018, Pages 94-111
نویسندگان
Ben R. Marshall, Nhut H. Nguyen, Nuttawat Visaltanachoti,