Bertone, Stephen; Paeglis, Imants; Ravi, Rahul - In: Journal of Banking & Finance 54 (2015) C, pp. 72-86
deviations is related to volatility, liquidity, and transaction costs of both the index constituents and the ETF. Further, the … influence of news arrival, and liquidity (volatility) shocks on the deviations persists for several hours. Finally, we document …