Ivanov, Stoyu I. - In: International Journal of Financial Services Management 6 (2013) 3, pp. 252-261
This study examines whether Exchange Traded Funds' (ETF) arbitrage which ensures that the ETF closely tracks its underlying index exists on intradaily basis. I document that this arbitrage mechanism does exist and varies across ETFs. DIA and QQQQ have the most dynamic arbitrage activity; whereas...