How ETFs Amplify the Global Financial Cycle in Emerging Markets

IF 6.8 1区经济学 Q1 BUSINESS, FINANCE

Review of Financial Studies Pub Date : 2023-02-20 DOI:10.1093/rfs/hhad014

Eduardo Levy-Yeyati, Nathan Converse, Tomas Williams

引用次数: 2

Abstract

Abstract 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 Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

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etf如何放大新兴市场的全球金融周期

摘要本文研究了交易所交易基金(etf)的增长如何影响国际资本流动对全球金融周期的敏感性。利用投资者流动的综合基金层面数据，我们发现股票(债券)etf对全球金融状况的敏感性是股票(债券)共同基金的2.5倍(2.25倍)。这种较高的敏感性可能与etf所针对的短期交易客户直接相关，这些客户更经常对冲击做出反应。利用国家层面的数据，我们发现，在etf持有较大金融资产份额的地方，股票流入和价格对全球风险更加敏感。作者们提供了一份互联网附录，可以在牛津大学出版社的网站上找到，就在最终发表论文的链接旁边。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Review of Financial Studies Multiple-

CiteScore

16.00

自引率

2.40%

发文量

期刊介绍： The Review of Financial Studies is a prominent platform that aims to foster and widely distribute noteworthy research in financial economics. With an expansive editorial board, the Review strives to maintain a balance between theoretical and empirical contributions. The primary focus of paper selection is based on the quality and significance of the research to the field of finance, rather than its level of technical complexity. The scope of finance within the Review encompasses its intersection with economics. Sponsoring The Society for Financial Studies, the Review and the Society appoint editors and officers through limited terms.