De Winne, Rudy; Gresse, Carole; Platten, Isabelle - In: International Review of Financial Analysis 34 (2014) C, pp. 31-43
This article examines how the introduction of an ETF replicating a stock index impacts on the liquidity of the underlying stocks when the ETF market involves liquidity providers (LPs). We find that index stock spreads decline, relative to those of non-index stocks, after the introduction of the...
