The price of international equity ETFs: The role of relative liquidity

Christina Atanasova and Jean-Philippe Weisskopf

Journal of International Financial Markets, Institutions and Money, 2020, vol. 65, issue C

Abstract: We examine the effect of the relative liquidity of international equity exchange-traded funds (ETFs) and their constituent portfolios on the price difference between the fund’s market prices and its net asset values. We use data for a sample of 584 international equity ETFs listed in the U.S. over the period January 2012 to December 2017 and find that higher liquidity is associated with a lower absolute value of the ETF premium/discount. We document a positive relationship between liquidity and the price convergence of the ETFs and their underlying shares. The effect of liquidity on convergence is stronger for ETFs with high holding costs.

Keywords: International equity; Exchange-traded fund; Premium/discount; Liquidity (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:65:y:2020:i:c:s1042443120300743

DOI: 10.1016/j.intfin.2020.101190

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