The price of international equity ETFs: The role of relative liquidity

被引：4

作者：

Atanasova, Christina ^{[1
]}

Weisskopf, Jean-Philippe ^{[2
]}

机构：

[1] Simon Fraser Univ, Beedie Sch Business, Burnaby, BC, Canada

[2] Ecole Hoteliere Lausanne, HES So Haute Ecole Specialisee Suisse Occident, Lausanne, Switzerland

来源：

JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY | 2020年 / 65卷

关键词：

International equity; Exchange-traded fund; Premium/discount; Liquidity; LIMITED ARBITRAGE; RISK; INVESTORS; IMPACT;

D O I：

10.1016/j.intfin.2020.101190

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine the effect of the relative liquidity of international equity exchange-traded funds (ETFs) and their constituent portfolios on the price difference between the fund's market prices and its net asset values. We use data for a sample of 584 international equity ETFs listed in the U.S. over the period January 2012 to December 2017 and find that higher liquidity is associated with a lower absolute value of the ETF premium/discount. We document a positive relationship between liquidity and the price convergence of the ETFs and their underlying shares. The effect of liquidity on convergence is stronger for ETFs with high holding costs. (C) 2020 Elsevier B.V. All rights reserved.

引用

页数：19

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