ETF adoption and equity market macroefficiency
Guzman, S., Rezaee, A. & Clare, A. ORCID: 0000-0002-4180-6778 (2025).
ETF adoption and equity market macroefficiency.
Journal of Portfolio Management, 51(6),
pp. 158-174.
doi: 10.3905/jpm.2025.1.690
Abstract
We analyze the impact that ETFs have had on equity market macro-efficiency around the globe. We find evidence to suggest that the introduction of ETFs, which enable investors to trade on macro information, has improved this aspect of market efficiency. We also find that equity market macro-efficiency tends to rise in more volatile market environments. Our results show that these improvements are more pronounced in developed equity markets where ETF growth has been more significant.
Publication Type: | Article |
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Publisher Keywords: | ETFs, equity market macro-efficiency |
Subjects: | H Social Sciences > HG Finance H Social Sciences > HJ Public Finance |
Departments: | Bayes Business School Bayes Business School > Finance |
SWORD Depositor: |
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