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The new ETF Rule: Rethinking intraday indicative values

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  • Lachance, Marie-Eve

Abstract

Exchange-traded funds (ETFs) currently disseminate Intraday Indicative Values (IIVs) every 15 seconds. The Securities and Exchange Commission (SEC) has removed this requirement in its recently adopted ETF rule, citing several accuracy problems with the measure. While retail investors might be left in the dark as a result, a more optimistic view would be to use the occasion to devise an improved “2.0 version” of IIVs. In that vein, this paper examines the possibility of reducing staleness by using prices based on midpoint quotes instead of last trades. The differences are quantified with an extensive set of daily ETF portfolios.

Suggested Citation

  • Lachance, Marie-Eve, 2021. "The new ETF Rule: Rethinking intraday indicative values," Finance Research Letters, Elsevier, vol. 39(C).
    • Handle: RePEc:eee:finlet:v:39:y:2021:i:c:s1544612320300520
    DOI: 10.1016/j.frl.2020.101557
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    References listed on IDEAS

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    1. Levy, Ariel & Lieberman, Offer, 2013. "Overreaction of country ETFs to US market returns: Intraday vs. daily horizons and the role of synchronized trading," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1412-1421.
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    More about this item

    Keywords

    Exchange-traded funds; Intraday valuation;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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