Financial intermediaries and contagion in market efficiency: The case of ETFs

Financial intermediaries and contagion in market efficiency: The case of ETFs

Capital constraints of financial intermediaries can affect liquidity provision. We investigate whether these constraints spillover and consequently cause contagion in the degree of market efficiency across assets managed by a common intermediary. Specifically, we provide evidence of strong comovemen...

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Bibliographic Details
Main Authors: HONG, Claire Yurong, LI, Frank Weikai, SUBRAHMANYAM, Avanidhar
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2022
Subjects:
ETFs
financial intermediaries
capital constraints
Finance
Finance and Financial Management
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/7021
https://ink.library.smu.edu.sg/context/lkcsb_research/article/8020/viewcontent/SSRN_id4062962.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/lkcsb_research/7021
https://ink.library.smu.edu.sg/context/lkcsb_research/article/8020/viewcontent/SSRN_id4062962.pdf

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