We study the pricing of exchange traded funds (ETFs) and the associated arbitrage trading of them in the primary and secondary markets. We find a direct relation between primary and secondary market trading that is consistent with market-makers using the primary market to hedge their inventory risk in the secondary market, as well as to facilitate arbitrage. Such trading in both markets keeps ETF prices in line with their net asset value. We conclude that the existence of the primary market enhances secondary market efficiency.

中文翻译：

---

交易所交易基金的定价和一级和二级市场参与者的角色

我们研究交易所交易基金 (ETF) 的定价及其在一级和二级市场的相关套利交易。我们发现一级市场和二级市场交易之间存在直接关系，这与做市商利用一级市场对冲二级市场的库存风险以及促进套利是一致的。两个市场的此类交易使 ETF 价格与其资产净值保持一致。我们得出结论，一级市场的存在提高了二级市场的效率。