Thomas Marta

I joined Wilfrid Laurier University 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: 

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.

RFQ Dominance and Lit Trading in European ETFs: Peaceful Coexistence? (2025)
(with Jérôme Dugast and Fabrice Riva)
To be presented at: Plato MI3 Conference - July 1 (2025)
Abstract: We study the role of Request-for-Quote (RFQ) trading in European ETF markets, where RFQs account for the majority of trading volume. Using granular trade-level data, we compare RFQs to lit market executions through a spread decomposition framework. RFQs tend to involve higher effective spreads but consistently exhibit lower price impact. We also document a strong link between RFQ activity and ETF primary market flows, consistent with RFQs triggering creations and redemptions by authorized participants. RFQs function as a distinct trading mechanism that allows institutional investors to manage execution costs and limit information leakage without impairing lit market quality.

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

Publications

• Do ETFs increase the comovements of their underlying assets? Evidence from a switch in ETF replication technique
  (with Fabrice Riva)
  Journal of Banking & Finance, Volume 170, January 2025, https://doi.org/10.1016/j.jbankfin.2024.107333
  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.

• ETF effects: The role of primary versus secondary market activities
  (with Carole Comerton-Forde)
  Journal of Financial Markets, forthcoming
  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 secondary market trading in exchange-traded funds (ETFs) but do not engage in ETF arbitrage. By contrast, primary market arbitrageurs enforce the law of one price, but their activities are infrequent and limited by arbitrage costs. We find that primary market activity is associated with increased volatility and illiquidity in overweighted ETF constituent stocks, while HFT activity is linked to narrower bid-ask spreads. Using a quasi-natural experiment in Japan, we show that while ETF primary market activity can temporarily disrupt market quality, the liquidity benefits of secondary market trading ultimately outweigh these negative effects.

Financial Management II (BU393)