发表期刊：Journal of International Money and Finance
发表时间：Nov 2024
作者及单位：Wei Ning, Jiahua Zhao, Fuwei Jiang*(1.Department of Finance at School of Economics ,Wang Yanan Institute for Studies in Economics, Xiamen University)
摘要：Using Chinese A-share market data, we empirically examine the impact of exchange-traded funds (ETFs) on tail dependence of the underlying securities. Our results show that ETFs can increase the tail dependence of stocks in their basket, showing that the average tail dependence of a stock is higher when it has stronger ETF holding similarity with other stocks. We investigate the role of arbitrage activity and find that ETF holding similarity increases stocks’ ETF arbitrage activity. This effect is primarily on discount arbitrage rather than premium arbitrage, which leads to higher tail dependence among stocks. Alongside propagating demand shocks from the ETF market to underlying securities, ETFs also propagate tail event shock from one stock to other stocks in their baskets. Additionally, arbitrage activities through ETFs add a new layer of non-fundamental tail dependence to the underlying securities. Unlike mutual funds, ETFs lead to more frequent and idiosyncratic tail risk contagion among underlying securities. Our study sheds light on how ETFs provide new channels for risk contagion among underlying securities in emerging markets.
关键词：Exchange-Traded Funds (ETFs)；Tail Dependence；Arbitrage Activity；Financial Network
