Prior to March of 2016, when the first exchange traded fund (ETF) on RTS was introduced,
Russian investors' only option for investing in the domestic index was through a mutual fund …

We develop a model of illiquidity transmission from spot to futures markets that formalizes
the derivative hedge theory of Cho and Engle (1999). The model shows that spot market …

Innovation majeure des trente dernières années, les ETF (Exchange-Traded Funds) ont mis
du temps avant de devenir un sujet d'intérêt pour la recherche en finance. Cet article s' …

Exchange Traded Funds (ETFs) are one of the most successful and innovative financial
products of the last two decades. They have become extremely popular both by retail and …

We consider the prospects for a liquidity mismatch between ETFs and their underlying
investments in the context of previous market stress events. As the global ETF industry …

Innovation majeure des trente dernières années, les ETF (Exchange-Traded Funds) ont mis
du temps avant de devenir un sujet d'intérêt pour la recherche en finance. Cet article s' …

Using daily data over the period for 01/03/2006 to 06/29/2018, this paper investigates the
effects of changes in interest rates on the liquidity of exchange-traded funds. We use quoted …

Using data on German-listed equity ETFs and their underlying stocks, this thesis provides
empirical evidence on key ETF-market interdependencies. First, it shows that underlying …