ETF ownership and stock liquidity: evidence from China

被引:0
作者
Wang, Nanjia [1 ]
Ma, Ziyu [2 ]
机构
[1] Renmin Univ China, Sch Finance, Beijing, Peoples R China
[2] China Chengxin Int Credit Rating Co Ltd CCXI, Res Inst, 2 South Zhugan Hutong,Chaoyangmen Inner St, Beijing 100010, Peoples R China
关键词
ETF ownership; stock liquidity; instantaneous arbitrage; market maker; primary market; G11; G23; DESIGNATED MARKET MAKERS; INDEX ARBITRAGE; INFORMATION; COMPETITION; EFFICIENCY; INCREASE; FUTURES; DEMAND;
D O I
10.1080/16081625.2024.2346581
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
Due to their low participation cost, exchange-traded funds (ETFs) are booming in China. We find that stocks with higher ETF ownership display higher liquidity while controlling for other institutional ownership. In the post-crash periods when ETF market evolves rapidly, the impact becomes greater. For large-capitalization stocks, ETF ownership has a stronger impact on stock liquidity. The liquidity shocks in the ETFs market can propagate to the underlying stocks through the instantaneous creation/redemption arbitrage mechanism. Moreover, ETF market makers create/redeem to manage their inventory risk, therefore introducing liquidity to stocks.
引用
收藏
页码:630 / 647
页数:18
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