Platten, Isabelle; Gresse, Carole; De Winne, Rudy - Université Paris-Dauphine
This article examines how the inception of an ETF market impacts several dimensions of the liquidity of the ETF-underlying-index stocks. In contrast with previous research, our evidence is based on an ETF market where liquidity providers (LPs) act as market makers. We find that: (1) the market...