We examine the impact of ETF ownership on the commonality in liquidity of underlying stocks, while controlling for … other institutional ownership. Analyses using aggregate stock-level ETF ownership and common ETF ownership at the stock …-pair level indicate that ETF ownership significantly increases commonality. We show that greater arbitrage activities are …

) listed on the Saudi stock exchange (i.e., Tadawul), as well as an international ETF (i.e., iShares MSCI Saudi Arabia) listed … creation and redemption of the ETF shares, and the lack of an active secondary market for the ETF shares can create major …

benchmarks, and demonstrate how heterogeneous benchmarking generates a mechanism through which fundamental shocks propagate … across assets. Fluctuations in asset managers' capital invested for benchmarking purposes, scaled by the size of the economy … these benchmarking-induced spillovers by analyzing shock elasticities and cross-elasticities of price-dividend ratios, and …