How ETFs Amplify the Global Financial Cycle in Emerging Markets

• 成果类型: Article
• 署名作者: Converse, Nathan; Levy-Yeyati, Eduardo; Williams, Tomas
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors; Universidad Torcuato Di Tella; George Washington University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhad014
• 发表日期: 2023
• 页码: 3423
• 关键词: EXCHANGE-TRADED FUNDS; ASSET FIRE SALES; capital flows; international transmission; purchases; liquidity; investors; Managers; matters; IMPACT

摘要

We study how the growth of exchange-traded funds (ETFs) affects the sensitivity of international capital flows to the global financial cycle. Using comprehensive fund-level data on investor flows, we show that their sensitivity to global financial conditions for equity (bond) ETFs is 2.5 (2.25) times higher than for equity (bond) mutual funds. This higher sensitivity can be directly linked to ETFs underlying shorter-trading-horizon clientele that trades more often in response to shocks. Using country-level data, we find that where ETFs hold a larger share of financial assets, equity inflows and prices become more sensitive to global risk. Authors have furnished an , which is available on the Oxford University Press Web site next to the link to the final published paper online.