The effect of ETFs on financial markets: a literature review

被引：18
|
作者：
Liebi, Luca J. [1 ]
机构：
[1] Univ St Gallen, Swiss Inst Banking & Finance, Unterer Graben 21, CH-9000 St Gallen, Switzerland
来源：
FINANCIAL MARKETS AND PORTFOLIO MANAGEMENT | 2020年 / 34卷 / 02期
关键词：
Exchange-traded funds; Liquidity; Price discovery; Volatility; Comovement; EXCHANGE-TRADED FUNDS; LIQUIDITY; INDEX; VOLATILITY; INCREASE; IMPACT;
D O I：
10.1007/s11408-020-00349-1
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Exchange-traded funds (ETFs) belong to the fastest growing investment products worldwide. Within 15 years, total assets invested in ETFs have twenty-folded, reaching over $3.7 trillion at the end of 2018. Increasing demand for passive investments, coupled with high liquidity and low transaction costs, are key advantages of ETFs compared to their closest substitutes such as traditional index funds. Besides the continuous growth of ETFs, the Flash Crash in 2010 triggered detailed investigations by regulators on how ETFs affect the financial market. This literature review provides a broad overview of recent academic studies analyzing the effect of ETFs on liquidity, price discovery, volatility, and comovement of the underlying securities.
引用
收藏
页码：165 / 178
页数：14
相关论文
共 50 条
  • [41] Diversification effect of commodity futures on financial markets
    Kanamura, Takashi
    [J]. QUANTITATIVE FINANCE AND ECONOMICS, 2018, 2 (04): : 821 - 836
  • [42] Modeling the momentum effect in financial stock markets
    Umino, Kazunori
    Kikuchi, Takamasa
    Kunigami, Masaaki
    Yamada, Takashi
    Terano, Takao
    [J]. Transactions of the Japanese Society for Artificial Intelligence, 2018, 33 (04)
  • [43] The effect of substitute assets on yields in financial markets
    Cyree, Ken B.
    Lindley, James T.
    Winters, Drew B.
    [J]. FINANCIAL MANAGEMENT, 2007, 36 (01) : 27 - 47
  • [44] Financial technology: a review of extant literature
    Sangwan, Vikas
    Harshita
    Prakash, Puneet
    Singh, Shveta
    [J]. STUDIES IN ECONOMICS AND FINANCE, 2019, 37 (01) : 71 - 88
  • [45] Measuring financial literacy: a literature review
    Ouachani, Sonia
    Belhassine, Olfa
    Kammoun, Aida
    [J]. MANAGERIAL FINANCE, 2021, 47 (02) : 266 - 281
  • [46] Informality and financial development: A literature review
    Capasso, Salvatore
    Ohnsorge, Franziska
    Yu, Shu
    [J]. MANCHESTER SCHOOL, 2022, 90 (05): : 587 - 608
  • [47] Financial contagion: review of empirical literature
    Seth, Neha
    Panda, Laxmidhar
    [J]. QUALITATIVE RESEARCH IN FINANCIAL MARKETS, 2018, 10 (01) : 15 - 70
  • [48] Financial exclusion of the poor: a literature review
    Koku, Paul Sergius
    [J]. INTERNATIONAL JOURNAL OF BANK MARKETING, 2015, 33 (05) : 654 - 668
  • [49] DEFINING FINANCIAL STABILITY - A LITERATURE REVIEW
    Orastean, Ramona
    Marginean, Silvia
    [J]. 18TH INTERNATIONAL CONFERENCE - THE KNOWLEDGE-BASED ORGANIZATION: ECONOMIC, SOCIAL AND ADMINISTRATIVE APPROACHES TO THE KNOWLEDGE-BASED ORGANIZATION, CONFERENCE PROCEEDINGS 2, 2012, : 208 - 213
  • [50] Cooperative financial institutions: A review of the literature
    McKillop, Donal
    French, Declan
    Quinn, Barry
    Sobiech, Anna L.
    Wilson, John O. S.
    [J]. INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2020, 71
12345