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

• 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
• Institution: Singapore Management University

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...