This paper investigates the effect of the ETF illiquidity on the ETF tracking error, return, and volatility. Both ETF illiquidity and ETF tracking errors are positively related and are persistent over time. The empirical tests of the liquidity adjusted capital asset pricing model show that illiquid ETFs tend to be more sensitive to underlying index returns or ETF market liquidity, and a positive liquidity premium exists in the US ETF markets. Further, I show that an ETF variance is typically larger than its NAV variance when the ETF is not actively traded. This result con rms that illiquid ETFs are much riskier when market liquidity declines sharply.
Keywords: Exchange-Traded-Funds (ETFs), Liquidity, Tracking Errors, Volatility.
JEL Classification Numbers: G12, G14
학회소식
공지사항
[2015년 제 2차] Liquidity risk and Exchange-traded-fund returns, va
작성자 : 관리자
조회수 : 942
게시일 :
2015-06-03