I am becoming concerned about ETFs distorting the market value of underlying securities. This is not a big issue yet, but as they become more and more popular the securities they contain will start moving in unison because of arbitrage, irregardless of their underlying value. Both price and volume will change to match the index as the components are fixed. There are several other question related to ETFs such as: how will illiquid securities react to large ETF/index moves, people can front run the arbiters in those situations, and those underlying securities will have to be purchased/sold to match the index. Has anybody here tried doing this? My real concern is the first point. Anybody else has a problem with this?