Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 8, 2021 erstellt
Beschreibung:
We investigate the impact of primary and secondary market Exchange Traded Fund (ETF) activities on the underlying securities in ETFs. Using a quasi-natural experiment, we show that stocks purchased for the purpose of creating ETF units on the primary market lead to higher volatility, prices, and illiquidity. The detrimental effect, which is observed in prices, spreads, and depths, is limited by the low frequency and magnitude of ETF primary market activities. In contrast, secondary market ETF activities, which are dominated by high-frequency traders, are not associated with a degradation in the market quality of the underlying securities