商學院青年博士學術工作坊（第三期）

講座題目：Liquidity provision in the Exchange Traded Fund market

主講嘉賓： 孫晨飛

時間：2024年5月29日（星期三）下午14:00—16:00

地點：商學院304會議室

歡迎感興趣的師生參加聆聽！

江南大學商學院

2024年5月24日

主講嘉賓簡介

孫晨飛，University of New South Wales金融學博士（2021）、University of Sydney金融學碩士（2019）、University of Melbourne金融學博士生（2022年至今），在國際金融學知名刊物Journal of Empirical Finance（ABS 3）發表論文一篇。2023年度在CICF, FIRN Asset Management Meeting, Monash Winter Conference, FIRN Annual Conference, Sydney Market Microstructure Research Meeting, AFBC等學術會議作報告。主講 Financial Markets and Investment (2023)課程。合作者Prof. Carole Comerton-Forde以本報告主題《Liquidity provision in the Exchange Traded Fund market》于2023年4月份在香港理工大學商學院做學術主旨講座報告。

講座主要内容

We find that liquidity in Exchange Traded Funds (ETFs) worsens when intraday tracking error increases. Using an instrumental variable regression, we show that the negative impact of intraday tracking error on liquidity is causal. We also find that ETF designated market makers (DMMs) reduce their liquidity provision activities in response to larger tracking error. Increasing tracking error presents an opportunity for primary market arbitrageurs but increases the risk of DMMs’ orders being picked off. ETF DMMs go beyond reducing liquidity provision and actively take liquidity from the market on days with ETF primary market arbitrage activity consistent with these days having higher levels of adverse selection risk.