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Event

29 July 2019

The School of Economics and Finance invites you to attend a seminar where Professor Russell Wermers of the Robert H. Smith School of Business, University of Maryland will present on "Do ETFs Increase Liquidity?".

Abstract:

This paper investigates the impact of exchange-traded funds (ETFs) on the liquidity of their underlying stockholdings. Using a difference-in-differences methodology for large changes in the index weights of stocks in the S&P 500 and NASDAQ 100 indexes, we find that increases in ETF ownership decrease the transaction costs of stocks for institutional investors, driven by lower price impact costs. High-ETF ownership stocks have high price resilience and high market depth. However, ETFs are linked to higher liquidation costs during the 2011 U.S. debt-ceiling crisis, suggesting that stocks having high-ETF ownership may experience impaired liquidity during major market stress events.

Everyone is welcome to attend.

For more information please see Professor Russell Wermers' website.

 

Date
29 July 2019 - 29 July 2019
Time
11:00am - 12:30pm
Location
Gardens Point Campus, Z Block, Level 8
Room
GP - Z808
Cost
Free to attend
Organisation
QUT School of Economics and Finance
Info
Dr Ruchith Dissanayake
Phone
07 3138 9164
Email
r.dissanayake@qut.edu.au
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