- Title
- Do liquidity proxies measure liquidity accurately in ETFs?
- Creator
- Marshall, Ben R.; Nguyen, Nhut H.; Visaltanachoti, Nuttawat
- Relation
- Journal of International Financial Markets, Institutions and Money Vol. 55, Issue July, p. 94-111
- Publisher Link
- http://dx.doi.org/10.1016/j.intfin.2018.02.011
- Publisher
- Elsevier
- Resource Type
- journal article
- Date
- 2018
- Description
- We document the performance of liquidity proxies in ETFs. Most proxies are developed for use in equities. However, ETFs have lower asymmetric information, more algorithmic trading, and an active primary market where units are frequently created and redeemed. Using a comprehensive database of over 600 ETFs, we find that despite the differences between ETF and stock liquidity, proxies such as Daily Spread, High-Low, Close-High-Low, and Amihud all do a good job of capturing changes in effective and quoted spread transaction costs. However, no proxies accurately reflect movements in price impact or the level of actual transaction costs.
- Subject
- liquidity measurement; liquidity proxy; transaction costs; exchange traded funds; ETF
- Identifier
- http://hdl.handle.net/1959.13/1391584
- Identifier
- uon:33253
- Identifier
- ISSN:1042-4431
- Rights
- © 2018. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/.
- Language
- eng
- Full Text
- Reviewed
- Hits: 1229
- Visitors: 1478
- Downloads: 303
| Thumbnail | File | Description | Size | Format | |||
|---|---|---|---|---|---|---|---|
| View Details Download | ATTACHMENT02 | Author final version | 835 KB | Adobe Acrobat PDF | View Details Download |