IDEAS home Printed from https://ideas.repec.org/p/hal/journl/hal-04659233.html
   My bibliography  Save this paper

Do ETFs Increase the Commonality of their Underlying Assets? Evidence from a Switch in ETF Replication Technique

Author

Listed:
  • Fabrice Riva

    (DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique)

  • Thomas Marta

Abstract

We investigate the impact of Exchange-Traded Funds (ETFs) on the comovements of their constituent securities using a novel identication that exploits the switch from synthetic to physical replication of a large French ETF. After the switch, constituent stocks experience greater commonality, in both returns andliquidity. For both the full sample of ETF constituents and the least liquid ETFconstituents, a larger part of the variation in individual stock returns or liquidityis explained by market-wide variations. We present evidence that ETF creationand redemption is the transmission mechanism of the comovements. Moreover, we show that the comovements do not appear excessive.

Suggested Citation

  • Fabrice Riva & Thomas Marta, 2023. "Do ETFs Increase the Commonality of their Underlying Assets? Evidence from a Switch in ETF Replication Technique," Post-Print hal-04659233, HAL.
    • Handle: RePEc:hal:journl:hal-04659233
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    Keywords

    ETFs; commonality;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:hal-04659233. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.