Do ETFs Increase Volatility?

• 成果类型: Article
• 署名作者: Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih
• 署名单位: University System of Ohio; Ohio State University; National Bureau of Economic Research; Universita della Svizzera Italiana; University of Geneva; Villanova University; University of Pennsylvania
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12727
• 发表日期: 2018
• 页码: 2471-2535
• 关键词: STOCK RETURNS; Investor sentiment; futures prices; demand curves; cross-section; MARKET; liquidity; RISK; INFORMATION; performance

摘要

Due to their low trading costs, exchange-traded funds (ETFs) are a potential catalyst for short-horizon liquidity traders. The liquidity shocks can propagate to the underlying securities through the arbitrage channel, and ETFs may increase the nonfundamental volatility of the securities in their baskets. We exploit exogenous changes in index membership and find that stocks with higher ETF ownership display significantly higher volatility. ETF ownership increases the negative autocorrelation in stock prices. The increase in volatility appears to introduce undiversifiable risk in prices because stocks with high ETF ownership earn a significant risk premium of up to 56 basis points monthly.