当被动基金影响价格:来自波动性和商品etf的证据

IF 5.6 2区经济学 Q1 BUSINESS, FINANCE

Review of Finance Pub Date : 2023-11-01 DOI:10.1093/rof/rfad038

Karamfil Todorov

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引用次数: 0

摘要

摘要本文研究了波动性(VIX)和大宗商品这两种ETF主导的资产类别对ETF价格的影响。我提出了一种基于期货合约细节来衡量etf相关价格扭曲的新方法。这使我能够在波动率指数期货价格中分离出一个与etf再平衡密切相关的成分。我将ETF交易需求分解为杠杆再平衡、日历再平衡和流量再平衡，并表明交易ETF是有风险的。杠杆再平衡对etf相关价格构成的影响最大。这种再平衡放大了价格变化，并使ETF交易对手暴露在差异之下。

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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When Passive Funds Affect Prices: Evidence from Volatility and Commodity ETFs

Abstract This paper studies ETF price impact in the most ETF-dominated asset classes: volatility (VIX) and commodities. I propose a new way to measure ETF-related price distortions based on the specifics of futures contracts. This allows me to isolate a component in VIX futures prices that is strongly related to the rebalancing of ETFs. I derive a novel decomposition of ETF trading demand into leverage rebalancing, calendar rebalancing, and flow rebalancing, and show that trading against ETFs is risky. Leverage rebalancing has the largest effects on the ETF-related price component. This rebalancing amplifies price changes and exposes ETF counterparties to variance.

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来源期刊

Review of Finance Multiple-

CiteScore

7.80

自引率

2.30%

发文量

期刊介绍： The Review of Finance, the official journal of the European Finance Association, aims at a wide circulation and visibility in the finance profession. The journal publishes high-quality papers in all areas of financial economics, both established and newly developing fields: • •Asset pricing •Corporate finance •Banking and market microstructure •Law and finance •Behavioral finance •Experimental finance Review of Finance occasionally publishes special issues on timely topics, including selected papers presented at the meetings of the European Finance Association or at other selected conferences in the field.