Impact of exchange traded funds on the liquidity of underlying stocks : evidence from Singapore.
Chang, Yeong Kiat.
Lee, Ivan Chin Yong.
Teo, Sok Kian.
Date of Issue2003
College of Business (Nanyang Business School)
This research investigates empirically the liquidity effects of the introduction of Exchange Traded Funds (ETFs) on the underlying stocks. Using evidence from the Singapore market, we find the listing of StreetTRACKSSM Straits Times Index Fund (STI ETF 100) causes a reduction in the liquidity of the underlying component securities.
Final Year Project (FYP)
Nanyang Technological University