ETF effects: The role of primary versus secondary market activities

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2025-09-01 DOI:10.1016/j.finmar.2025.100983

Carole Comerton-Forde , Thomas Marta

引用次数: 0

Abstract

High-frequency traders (HFTs) dominate secondary market trading in exchange-traded funds (ETFs) but do not engage in ETF arbitrage. By contrast, primary market arbitrageurs enforce the law of one price, but their activities are infrequent and limited by arbitrage costs. We find that primary market activity is associated with increased volatility and illiquidity in overweighted ETF constituent stocks, while HFT activity is linked to narrower bid–ask spreads. Using a quasi-natural experiment in Japan, we show that while ETF primary market activity can temporarily disrupt market quality, the liquidity benefits of secondary market trading ultimately outweigh these negative effects.

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ETF效应：一级市场与二级市场活动的作用

高频交易者（HFTs）主导着交易所交易基金（ETF）的二级市场交易，但不参与ETF套利。相比之下，一级市场套利者执行单一价格法则，但他们的活动并不频繁，而且受到套利成本的限制。我们发现，一级市场活动与权重过大的ETF成分股的波动性增加和流动性不足有关，而高频交易活动与买卖价差收窄有关。通过在日本进行的一项准自然实验，我们表明，虽然ETF一级市场活动会暂时扰乱市场质量，但二级市场交易的流动性收益最终会超过这些负面影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.