国家交易所交易基金对国外股市指数有影响吗?来自印度etf的证据

IF 1.2 Q3 BUSINESS, FINANCE

Journal of Emerging Market Finance Pub Date : 2019-04-09 DOI:10.1177/0972652719831550

S. Narend, M. Thenmozhi

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引用次数: 6

摘要

我们研究了国家交易所交易基金(etf)对该国股票市场指数的影响，而不考虑其基础基准。对在美国、英国、加拿大、法国、日本、以色列和新加坡上市的28只印度etf样本进行的汇总普通最小二乘(OLS)分析显示，印度etf对该国股指有显著影响。我们还记录了国家etf与国家股票指数之间的反向因果关系。即使在控制了全球影响、股市波动、外国机构投资者(FII)流动、外汇汇率和印度etf的资产规模之后，结果也很稳健。这项研究的结果对新兴市场和发达市场的全球投资者和政策制定者都有启示意义。政策制定者会发现，监管国家etf流入相关国家的资金是势在必行的，因为国家etf的退出可能会对经济产生连锁反应。JEL分类:G11, G15, G23

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Do Country ETFs Influence Foreign Stock Market Index? Evidence from India ETFs

We examine the influence of country exchange traded funds (ETFs) on the country’s stock market indices, irrespective of their underlying benchmark. A pooled ordinary least square (OLS) analysis of a sample of 28 India ETFs listed in the US, UK, Canada, France, Japan, Israel and Singapore reveals that India ETFs have a significant impact on the country’s stock indices. We also document reverse causal dynamics between country ETFs and the country’s stock indices. The results are robust even after controlling for global effects, stock market volatility, foreign institutional investor (FII) flows, foreign exchange rate and asset size of India ETFs. The findings of the study have implications for global investors and policymakers in both emerging and developed markets. Policymakers would find it compelling to monitor country ETFs’ fund flows into the underlying country, as withdrawal of country ETFs could have a cascading effect on the economy. JEL Classification: G11, G15, G23

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来源期刊

Journal of Emerging Market Finance BUSINESS, FINANCE-

CiteScore

1.80

自引率

33.30%

发文量

期刊介绍： The Journal of Emerging Market Finance is a forum for debate and discussion on the theory and practice of finance in emerging markets. While the emphasis is on articles that are of practical significance, the journal also covers theoretical and conceptual aspects relating to emerging financial markets. Peer-reviewed, the journal is equally useful to practitioners and to banking and investment companies as to scholars.