This paper examines the determinants of the time it takes for an index options market to be brought back to efficiency after put-call parity deviations, using intraday transactions data from the French CAC 40 index options over the August 2000 - July 2001 period. We address this issue through...

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...

We investigate the impact of Exchange-Traded Funds (ETFs) on their constituent securities. The analysis is performed using a novel identification which exploits the switch from synthetic to physical replication of a large French ETF. We find that, after the switch, constituent stocks experience...