Abstract
The paper examines how the introduction of Vietnamese exchange-traded funds (ETFs) impacts on the liquidity of the underlying stocks. We found that the component stock’s liquidity decreased after Deutsche Bank Xtrackers (DBX) - the fist Vietnamese-based ETF - was introduced in 2008, but signifiantly improved after the introduction of the other two ETFs, the VanEck Vectors Vietnam ETF (VNM) in 2009 and the E1VFVN30 in 2014. In addition, the stock liquidity change is more pronounced for the stocks that had lower weight in the ETFs. The empirical fidings may result in policy implications about the effcts of ETF creation on the Vietnam stock market under diffrent trends of the stock market. ETF creation not only provides a new and alternative investment, but is also a diversifid and transparent investment tool for Vietnamese investors.
Keywords
Adverse selection, ETF, inter-arbitrage, investor recognition, liquidity.
Publisher
Kinh Tế Quốc Dân???dc.relation.reference???
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Amihud, Y. (2002), ‘Illiquidity and stock returns: cross-section and time-series effcts’, Journal of Financial Markets, 5, 31-56. Barber, B.M. and Odean, T. (2008), ‘All that glitters: The effct of attention and news on the buying behavior of individual and institutional investors’, Review of Financial Studies, 21, 785-818. Batten, J.A. and Vo, X.V. (2014), ‘Liquidity and return relationships in an emerging market’, Emerging Markets Finance and Trade, 50, 5-21. Fremault, A. (1991), ‘Stock index futures and index arbitrage in a rational expectations mode’, The Journal of&...See More
Appears in Collections: | 02. Tạp chí (Tiếng Anh)
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