G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w20071
来源IDWorking Paper 20071
Do ETFs Increase Volatility?
Itzhak Ben-David; Francesco Franzoni; Rabih Moussawi
发表日期2014-04-24
出版年2014
语种英语
摘要We study whether exchange traded funds (ETFs)--an asset of increasing importance--impact the volatility of their underlying stocks. Using identification strategies based on the mechanical variation in ETF ownership, we present evidence that stocks owned by ETFs exhibit significantly higher intraday and daily volatility. We estimate that an increase of one standard deviation in ETF ownership is associated with an increase of 16% in daily stock volatility. The driving channel appears to be arbitrage activity between ETFs and the underlying stocks. Consistent with this view, the effects are stronger for stocks with lower bid-ask spread and lending fees. Finally, the evidence that ETF ownership increases stock turnover suggests that ETF arbitrage adds a new layer of trading to the underlying securities.
主题Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets
URLhttps://www.nber.org/papers/w20071
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/577745
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GB/T 7714
Itzhak Ben-David,Francesco Franzoni,Rabih Moussawi. Do ETFs Increase Volatility?. 2014.
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