Automated Trader, Sponsored Article, ETF Liquidity: Hidden Depths, here.
Another consideration is the difference between the settlement price of an ETF bought in the market with a market on close (MOC) order and the settlement price of an ETF created on the fly from its constituents. An MOC order on an ETF does not have to settle at the net asset value of the fund. However if an MOC order is placed for all the constituents in the ETF basket, which are submitted to the fund manager to create new ETF shares, then these shares will settle at the closing net asset value of the fund. The two instances are essentially decoupled because the settlement price of the exchange traded ETF can be at a premium or discount to the net asset value.