Volume and Assets as Determinants of ETF Bid-Ask Spreads

Riepe, Mark W.; Iachini, Michael
May 2011
Journal of Financial Planning;May2011, Vol. 24 Issue 5, p32
Academic Journal
The article presents a study on the effect of security volume on the bid-ask spreads of exchange traded funds (ETF) in the U.S. It notes that the data used for the analysis of bid-ask were collected from ArcaVision. Results show that ETF's bid-ask spread correlates stronger with dollar volume than with assets. The article says that volume and assets on bid-ask spread have stronger explanatory power for diversified equity and alternative ETF, but they were weaker for sector and bond ETF. It concludes that the relationship of volume with bid-ask spreads of ETF is log-linear.


Related Articles

  • Integrated Tail Risk Hedging: The Last Line of Defense in Investment Risk Management. Miccolis, Jerry A.; Goodman, Marina // Journal of Financial Planning;Jun2012, Vol. 25 Issue 6, p44 

    The article focuses on the use of integrated tail risk hedging in investment risk management. It states that portfolios need tail risk hedges, which are last resort protection for portfolios, to assist in stemming losses but suggests most tail risk hedges are ineffective or too costly. It talks...

  • Fund Providers Foresee Growth in Bond ETFs. Manganaro, John // Plan Advisor News;2014, p44 

    The article discusses financial analytics firm Cerulli Associates' study which showed a growing percentage of exchange-traded fund (ETF) providers who are expecting strong growth for taxable bond asset class ETFs. Topics discussed include Cerulli senior analyst Jennifer Muzerall's claim that ETF...

  • Investors move down the credit ladder to find yield. Hua, Thao // Pensions & Investments;10/1/2012, Vol. 40 Issue 20, p3 

    The article looks at U.S. institutional investors' investment strategies as of October 2012, reporting on a trend of diversifying into higher-yield fixed income assets that carry lower ratings. It cites the extremely low yields available on government securities as an incentive. It discusses...

  • Study of Liquidity Risk under HJM Fram. Shaohua Li; Yun Tang // Finance (21610967); 

    This paper studies the liquidity risk under the HJM framework. Through the introduction of the HJM model, we consider liquidity as a term structure and give the liquidity spread dynamic equation directly. Finally, we obtain the dynamic equation of the price of the liquidity-risk bond. Moreover,...

  • Making the most of diversification. Gleeson, Rob // Money Marketing (Online Edition);5/28/2012, p5 

    The article focuses on the principles of diversification in Great Britain. It mentions that diversification harnesses the differences between investments and offsets their individual fluctuations against each other to smooth out the effect felt by the investor. It highlights Britain's two...

  • Ukraine: Further Widening Amid Risks.  // Emerging Markets Monitor;11/26/2007, Vol. 13 Issue 32, p17 

    The article reports on the weak performance of spread between the Ukraine U.S.$ Global 13 bond and the U.S. 5-year Treasury bond (T-bond). Further weakness is expected to occur, thus seeing the spread break through 320 bps and steer towards 330 bps in the short term. Indications that spread is...

  • Portfolio Diversification through Structured Catastrophe Bonds amidst the Financial Crisis. Constantin, Laura-Gabriela // Petroleum - Gas University of Ploiesti Bulletin, Technical Serie;2011, Vol. 63 Issue 3, p75 

    The paper explores the impact of investing in structured catastrophe bonds on the performance of both European and international well diversified portfolios formed by stocks from developed and emerging countries and other several assets, by focusing on examining its evolution during periods of...

  • Three myths about asset mix. Spinks, Michael // Money (Australia Edition);Aug2015, Issue 181, p53 

    The article discusses several myths associated with asset diversification. Topics mentioned include misconceptions related to diversification resulting from investments in different assets with the same fundamental return drivers, conventional descriptions of asset classes and their typical...

  • Finding Yield in Unusual Places. Clift, Tim // Investment Advisor;Jul2012, Vol. 32 Issue 7, p75 

    The article discusses the benefits and risks of focusing on bond exchange-traded funds (ETFs) in the U.S. It states that bond-focused strategy can yield higher level of income, however, it can present additional interest rate and other risks. It also suggests the use of diversification of the...


Read the Article


Sorry, but this item is not currently available from your library.

Try another library?
Sign out of this library

Other Topics