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- W2912954706 abstract "We show that investment decisions of country ETF market participants measured by ETF market order imbalances are driven by global shocks, rather than local risks. We demonstrate that the ETF arbitrage mechanism is one of the key channels through which global shocks propagate to local economies leading to increased return correlation with the U.S. market, limiting the benefits from international diversification. Staggered introduction of country ETFs increases the return correlations between underlying foreign and U.S. market indices. We find that countries with stronger ETF price discovery and lower limits to arbitrage have a higher comovement with the U.S. market lending further support for the proposed arbitrage mechanism." @default.
- W2912954706 created "2019-02-21" @default.
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- W2912954706 date "2018-01-01" @default.
- W2912954706 modified "2023-10-16" @default.
- W2912954706 title "ETF Arbitrage and International Correlation" @default.
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- W2912954706 doi "https://doi.org/10.2139/ssrn.3287417" @default.
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