商学院青年博士学术工作坊（第三期）

讲座题目：Liquidity provision in the Exchange Traded Fund market

主讲嘉宾： 孙晨飞

时间：2024年5月29日（星期三）下午14:00—16:00

地点：商学院304会议室

欢迎感兴趣的师生参加聆听！

江南大学商学院

2024年5月24日

主讲嘉宾简介

孙晨飞，University of New South Wales金融学博士（2021）、University of Sydney金融学硕士（2019）、University of Melbourne金融学博士生（2022年至今），在国际金融学知名刊物Journal of Empirical Finance（ABS 3）发表论文一篇。2023年度在CICF, FIRN Asset Management Meeting, Monash Winter Conference, FIRN Annual Conference, Sydney Market Microstructure Research Meeting, AFBC等学术会议作报告。主讲 Financial Markets and Investment (2023)课程。合作者Prof. Carole Comerton-Forde以本报告主题《Liquidity provision in the Exchange Traded Fund market》于2023年4月份在香港理工大学商学院做学术主旨讲座报告。

讲座主要内容

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.