Intraday arbitrage between ETFs and their underlying portfolios

• 成果类型: Article
• 署名作者: Box, Travis; Davis, Ryan; Evans, Richard; Lynch, Andrew
• 署名单位: Clemson University; University of Alabama System; University of Alabama Birmingham; University of Virginia; University of Arkansas System; University of Arkansas Fayetteville
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.04.023
• 发表日期: 2021
• 页码: 1078-1095
• 关键词: EXCHANGE-TRADED FUNDS; ETFs; Limits to arbitrage; liquidity

摘要

Prior research suggests that nonfundamental exchange-traded fund (ETF) price shocks are transmitted to their portfolios through an arbitrage mechanism. We test this proposition by examining minute-by-minute returns and order imbalances but find little evidence that ETF trading impacts underlying returns. Specifically, panel vector autoregression shows that ETF returns do not lead portfolio prices. Instead, arbitrage opportunities arise from order imbalances and price movements in the underlying securities and are subsequently eliminated by ETF quote adjustments, rather than arbitrage trading. We extend our analysis to a daily frequency but still find little relation between ETF trading and constituent security prices. (c) 2021 Elsevier B.V. All rights reserved.