51±¾É«

I joined 51±¾É« in 2021 after completing my PhD in Finance at Université Paris Dauphine - PSL in 2020. Before pursuing my doctorate, I worked as a senior fixed income ETF market maker at Bluefin Trading LLC in London, UK.

• Working Papers:

ETF effects: the role of primary versus secondary market activities (with Carole Comerton-Forde)

Presented at : RBA-FIRN Central Bank Workshop (2022), FMA Annual Meeting (2022), McMaster Seminar (2022), UNSW PhD Microstructure Workshop (2020), and WLU Brown Bag Seminar (2021).

Abstract:  High frequency traders (HFTs) dominate trading activity in Exchange Traded Funds (ETF).  Their trading is independent of daily ETF mispricing and primary market activities.  In contrast, primary market activities correlate positively with mispricing, revealing divergent trading strategies between HFTs and primary market arbitrageurs.  While primary market activities can heighten volatility and illiquidity in ETF constituent securities, HFTs' activity is associated with lower bid ask spreads.  The infrequency and minimal scale of primary market activities suggest that the benefits of secondary market activity in ETFs outweigh the negative impacts of primary market activity.

Corporate Bond ETFs, Bond Liquidity, and ETF Trading Volume 

Presented at: AFA Annual Meeting (2022), FMA Annual Meeting (2020), Microstructure Exchange (2020), Microstructure Exchange Asia (2020), NFA PhD Session (2019), FMA Doctoral Student Consortium (2019), FMA Europe PhD Session (2019), AFFI Summer PhD Session (2019), and Université Paris Dauphine PhD Workshop (2019).

Abstract:  This research examines the influence of corporate bond Exchange-Traded Funds (ETFs) on the liquidity of their underlying securities.  Findings indicate that corporate bond ETFs reduce transaction costs for their constituent bonds, and so even during periods of arbitrage and market stress.  Through the utilization of a quasi-natural experiment, the study addresses self-selection and index effect identification issues, establishing a positive causal relation between ETF ownership and bond liquidity.  The trading volume of corporate bond ETFs, which is 6.67 times larger than their arbitrage, appears to be beneficial.

• Work in progress:

-The Dominance of RFQ Trading in European ETFs: Implications for Market Dynamics and Liquidity Interactions, 2024, with Fabrice Riva and Jérôme Dugast 

-ETFs: Not Guilty, 2024

• SSHRC Insight Development Grant ($66,019), 2022-2025
• Doctoral Scholarship, French Ministry of Higher Education and Research, 2016-2019

-Do ETFs increase the comovements of their underlying assets? Evidence from a switch in ETF replication technique (with Fabrice Riva),  Forthcoming, Journal of Banking and Finance.

Presented at : AFFI Summer Conference (2023), Eurofidai-ESSEC Conference (2022), FMA Annual Meeting (2022), and CFE Conference (2020).

Abstract:  We investigate the impact of Exchange-Traded Funds (ETFs) on the comovements of their constituent securities using a novel identification that exploits the switch from synthetic to physical replication of a large French ETF. After the switch, constituent stocks experience greater commonality, in both returns and liquidity. For both the full sample of ETF constituents and the least liquid ETF constituents, a larger part of the variation in individual stock returns or liquidity is explained by market-wide variations. We present evidence that ETF creation and redemption is the transmission mechanism of the comovements. Moreover, we show that the comovements do not appear excessive.

Financial Management II (BU393)