The impact of ETF index inclusion on asset prices

Last registered on November 05, 2021


Trial Information

General Information

The impact of ETF index inclusion on asset prices
Initial registration date
November 04, 2021

Initial registration date is when the trial was registered.

It corresponds to when the registration was submitted to the Registry to be reviewed for publication.

First published
November 05, 2021, 8:40 PM EDT

First published corresponds to when the trial was first made public on the Registry after being reviewed.



Primary Investigator

University of California, Irvine

Other Primary Investigator(s)

PI Affiliation
University of Stavanger
PI Affiliation
University of Stavanger
PI Affiliation
UC Santa Cruz and University of Essex

Additional Trial Information

On going
Start date
End date
Secondary IDs
IFREE Small Grants
Prior work
This trial does not extend or rely on any prior RCTs.
We study how Exchange Traded Funds (ETFs) affect assets prices under two distinct environments: (1) when all three assets are included in the index, and (2) when one of the two identical assets is excluded from the index and replaced by an equivalent identical asset. The authorized participants (APs) are modeled via bots that create and redeem ETF shares by scanning the order book of the underlying assets. We ask whether inclusion of an asset in the ETF index results in an index premium and whether this persists even after short-selling is allowed.
External Link(s)

Registration Citation

Duffy, John et al. 2021. "The impact of ETF index inclusion on asset prices." AEA RCT Registry. November 05.
Sponsors & Partners


Experimental Details


We study inclusion or exclusion of assets from an Exchange Traded Fund (ETF) index asset in experimental asset markets.
Intervention Start Date
Intervention End Date

Primary Outcomes

Primary Outcomes (end points)
Asset prices, order flows and the volume of trade from experimental asset markets.
Primary Outcomes (explanation)

Secondary Outcomes

Secondary Outcomes (end points)
Secondary Outcomes (explanation)

Experimental Design

Experimental Design
The experimental asset markets involve three assets, A, B, C and a composite asset D, proxying for an Exchange Traded Fund (ETF). The payoff to each asset depends on the randomly determined state of the world, and participants know all possible states. Asset D is provided by a computerized trader who creates and redeems shares of asset D while maintaining a zero net supply of that ETF asset. In treatment 1, all three assets are included in the composite asset D. In treatment 2, asset B is excluded from the composite asset D and replaced by another unit of asset C, and asset B and C have identical payoff structures. Treatment 3 is the same as treatment 2 but we allow for short-selling of assets A, B and C.
Experimental Design Details
Randomization Method
Randomization of states of the world is done by a computer program.
Randomization Unit
Session level, groups of 10-16 subjects
Was the treatment clustered?

Experiment Characteristics

Sample size: planned number of clusters
At least 5 groups per each of the three treatments, so at least 15 sessions
Sample size: planned number of observations
Seven markets per session, at least 15 sessions, so at least 105 markets.
Sample size (or number of clusters) by treatment arms
At least 5 sessions of each treatment. At least 10 subjects per session, so at least 150 total subjects.
Minimum detectable effect size for main outcomes (accounting for sample design and clustering)

Institutional Review Boards (IRBs)

IRB Name
UCI Institutional Review Board
IRB Approval Date
IRB Approval Number
UCI IRB HS#2011-8378


Post Trial Information

Study Withdrawal

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Is the intervention completed?
Data Collection Complete
Data Publication

Data Publication

Is public data available?

Program Files

Program Files
Reports, Papers & Other Materials

Relevant Paper(s)

Reports & Other Materials