Magnitude and Evolution of ETF Trading Frictions
January 8, 2016 - Volatility Effects
Are exchange-traded funds (ETF) efficient from a trading frictions perspective? In the October 2015 version of their paper entitled “ETF Liquidity”, Ben Marshall, Nhut Nguyen and Nuttawat Visaltanachoti examine magnitude of trading frictions, best liquidity metric, time-variation in liquidity time and liquidity-return relationship across a large number of ETFs. Their universe consists of 870 ETFs: 571 equity (411 U.S. and 160 international),… Keep Reading