| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w20071 |
| 来源ID | Working 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 |
| URL | https://www.nber.org/papers/w20071 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/577745 |
| 推荐引用方式 GB/T 7714 | Itzhak Ben-David,Francesco Franzoni,Rabih Moussawi. Do ETFs Increase Volatility?. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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