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Do ETFs lead the price moves? Evidence from the major US markets

Mike Buckle Orcid Logo, Jing Chen, Qian Guo, Chen Tong

International Review of Financial Analysis, Volume: 58, Pages: 91 - 103

Swansea University Author: Mike Buckle Orcid Logo

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Published in: International Review of Financial Analysis
ISSN: 1057-5219
Published: Elsevier BV 2018
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Keywords: Price discovery; Information share; ETFs; Permanent and transitory decomposition; Weighted price contribution
College: Faculty of Humanities and Social Sciences
Start Page: 91
End Page: 103