Essays on portfolio liquidity : a thesis presented in partial fulfilment of the requirements for the degree of Doctor of Philosophy in Finance at Massey University, Auckland, New Zealand
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Date
2021
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Massey University
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Abstract
Prior research focuses on the liquidity of individual assets such as stocks, bonds, etc. In more recent times, with the robust growth of basket products such as exchange-traded funds (ETFs) or futures, researchers have shifted their attention to the liquidity of a portfolio of assets. When being traded on a stock exchange, a portfolio incurs trading costs like stock. However, unlike stock, the market liquidity of a portfolio is affected by its degree of diversification and pricing error. This thesis consists of three essays and contributes to the literature on portfolio liquidity. Essay One investigates the market liquidity of active ETF, a renovated and fast-growing basket product. Essay Two examines the extent to which transaction costs in trading ETFs can be minimized via a systematic trading schedule. Finally, essay Three studies the spillover between the market liquidity of an ETF and the liquidity of its underlying stocks.
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Exchange traded funds, Liquidity (Economics)