The effect of ETFs on financial markets: a literature review

Item Type	Journal paper
Abstract	Exchange-traded funds (ETFs) belong to the fastest growing investment products worldwide. Within 15 years, total assets invested in ETFs have twenty-folded, reaching over $3.7 trillion at the end of 2018. Increasing demand for passive investments, coupled with high liquidity and low transaction costs, are key advantages of ETFs compared to their closest substitutes such as traditional index funds. Besides the continuous growth of ETFs, the Flash Crash in 2010 triggered detailed investigations by regulators on how ETFs affect the financial market. This literature review provides a broad overview of recent academic studies analyzing the effect of ETFs on liquidity, price discovery, volatility, and comovement of the underlying securities.
Authors	Liebi, Luca
Journal or Publication Title	Financial Markets and Portfolio Management
Language	English
Subjects	economics finance
HSG Classification	contribution to scientific community
HSG Profile Area	SOF - System-wide Risk in the Financial System
Refereed	Yes
Date	28 February 2020
Publisher	Swiss Society for Financial Market Research
Place of Publication	New York
Volume	34
Number	2
Page Range	165-178
Number of Pages	14
ISSN	1555-4961
Publisher DOI	https://link.springer.com/article/10.1007%2Fs11408-020-00349-1
Official URL	https://www.springerprofessional.de/en/the-effect-...
Depositing User	M.A. Luca Liebi
Date Deposited	06 Jan 2021 09:27
Last Modified	06 Jan 2021 09:30
URI:	https://www.alexandria.unisg.ch/publications/261933

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Liebi, Luca (2020) The effect of ETFs on financial markets: a literature review. Financial Markets and Portfolio Management, 34 (2). 165-178. ISSN 1555-4961

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https://www.alexandria.unisg.ch/id/eprint/261933

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