NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Do ETFs Increase Volatility?

Itzhak Ben-David, Francesco Franzoni, Rabih Moussawi

NBER Working Paper No. 20071
Issued in April 2014, Revised in June 2014

---- Acknowledgments ----

We are especially grateful to Robin Greenwood (AFA discussant) and Dimitri Vayanos. We thank George Aragon, Chris Downing, Andrew Ellul, Vincent Fardeau, Thierry Foucault, Rik Frehen, Denys Glushkov, Jungsuk Han, Harald Hau, Augustin Landier, Ananth Madhavan, David Mann, Rodolfo Martell, Albert Menkveld, Robert Nestor, Marco Pagano, Alberto Plazzi, Scott Richardson, Anton Tonev, Tugkan Tuzun, Scott Williamson, Hongjun Yan, and participants at seminars at SAC Capital Advisors, the University of Lugano, the University of Verona, the fourth Paris Hedge Funds Conference, the fifth Paul Woolley Conference (London School of Economics), the eighth Csef - IGIER Symposium (Capri), the fifth Erasmus Liquidity Conference (Rotterdam), the first Luxembourg Asset Pricing Summit, the Geneva Conference and Liquidity and Arbitrage, the 20th Annual Conference of the Multinational Finance Society, and the Swedish House of Finance seminar for helpful comments and suggestions. Ben - David acknowledges support from the Neil Klatskin Chair in Finance and Real Estate and from the Dice Center at the Fisher College of Business. An earlier version of this paper was circulated under the title "ETFs, Arbitrage, and Shock Propagation". The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research. Francesco Franzoni acknowledges support from the Swiss Finance Institute.

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