How Index Trading Increases Market Vulnerability

被引：36

作者：

Sullivan, Rodney N. ^{[1
]}

Xiong, James X. ^{[2
]}

机构：

[1] CFA Inst, Charlottesville, VA USA

[2] Morningstar Investment Management, Chicago, IL USA

来源：

FINANCIAL ANALYSTS JOURNAL | 2012年 / 68卷 / 02期

关键词：

CROSS-SECTION; STOCK RETURNS; VOLUME;

D O I：

10.2469/faj.v68.n2.7

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The authors found that the rise in popularity of index trading-assets invested in index funds reached more than $1 trillion at the end of 2010-contributes to higher systematic equity market risk. More equity index trading corresponds to increased cross-sectional trading commonality, which precipitates higher return correlations among stocks. Consistent with the accelerating growth of passive trading; the authors found that equity betas have not only risen but also converged in recent years.

引用

收藏

页码：70 / 84

页数：15

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