ETF markets generally provide high levels of liquidity but occasionally break down under turbulent conditions. We show that this seemingly ambivalent behavior can optimally arise in an inventory model of market making that explicitly accounts for the ETF specific dual trading structure. Our...

This paper investigates how the introduction of an index security directly or indirectly impacts the underlying-index spot-futures pricing. Using intraday data for financial instruments related to the CAC 40 index, we do not find that the spot-futures price efficiency improvement observed after...

This paper investigates how the introduction of an index security directly or indirectly impacts the underlying-index spot-futures pricing. Using intraday data for financial instruments related to the CAC 40 index, we do not find that the spot-futures price efficiency improvement observed after...

Despite the importance ETFs have recently gained, little is known about their liquidity. The conventional view on ETF liquidity is that what really matters is not the size of the ETF or its trading volume but the liquidity of its benchmark index. We argue that while creation/redemption...

This article studies the construction and development of the market for Exchange Traded Funds in France between 2000 and 2009. Building on a longitudinal qualitative study of the French ETF market, we present the multiple regulatory and institutional challenges that had to be tackled before ETFs...

We survey the litterature devoted to Exchange Traded Funds

This paper examines the determinants of the time it takes for an index options market to return to no arbitrage values after put-call parity deviations, using intraday transactions data from the French index options market. We employ survival analysis to characterize how limits to arbitrage...