| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP11469
|
| DP11469 A Dynamic Equilibrium Model of ETFs |
| Semyon Malamud
|
| 发表日期 | 2016-08-28
|
| 出版年 | 2016
|
| 语种 | 英语
|
| 摘要 | I develop a dynamic general equilibrium model of exchange traded funds (ETFs) that accounts for the two-tier ETF market structure with both a centralized exchange (secondary market) and a creation/redemption mechanism (primary market) operating through market-making firms known as Authorized Participants (APs). The model is tractable and allows for any number of ETFs and basket securities. I show that the creation/redemption mechanism serves as a shock propagation channel through which temporary demand shocks may have long-lasting impacts on future prices. In particular, they may lead to a momentum in asset returns and a persistent ETF pricing gap. Improving liquidity in the primary market stimulates creation/redemption and therefore strengthens the shock propagation channel. As a result, it may
amplify the volatility of both the underlying assets and the ETF pricing gap. At the same time, introducing new ETFs may reduce both the volatility and co-movement in the returns and may improve the liquidity of the underlying securities. |
| 主题 | Financial Economics
|
| 关键词 | Exchange traded funds
Liquidity
Limits to arbitrage
|
| URL | https://cepr.org/publications/dp11469
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/540283
|
推荐引用方式
GB/T 7714 |
Semyon Malamud. DP11469 A Dynamic Equilibrium Model of ETFs. 2016.
|
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