Artículo

How ETFs Amplify the Global Financial Cycle in Emerging Markets

Converse, Nathan; Levy Yeyati, Eduardo LuisIcon ; Williams, Tomas
Fecha de publicación: 09/2023
Editorial: Oxford University Press
Revista: The Review of Financial Studies
ISSN: 0893-9454
e-ISSN: 1465-7368
Idioma: Inglés
Tipo de recurso: Artículo publicado
Clasificación temática:

Resumen

We study how the growth of exchange-traded funds (ETFs) affects the sensitivity ofinternational capital flows to the global financial cycle. Using comprehensive fund-leveldata on investor flows, we show that their sensitivity to global financial conditions for equity(bond) ETFs is 2.5 (2.25) times higher than for equity (bond) mutual funds. This highersensitivity can be directly linked to ETFs underlying shorter-trading-horizon clientele thattrades more often in response to shocks. Using country-level data, we find that where ETFshold a larger share of financial assets, equity inflows and prices become more sensitive toglobal risk.
Palabras clave: ETF , Arbitraje , Liquidez , Crisis
 
Archivos asociados
Thumbnail
 
Tamaño: 553.4Kb
Formato: PDF
.
Licencia
info:eu-repo/semantics/openAccess Excepto donde se diga explícitamente, este item se publica bajo la siguiente descripción: Creative Commons Attribution-NonCommercial-ShareAlike 2.5 Unported (CC BY-NC-SA 2.5)
Identificadores
URI: http://hdl.handle.net/11336/243937
URL: https://academic.oup.com/rfs/article/36/9/3423/7048682
DOI: http://dx.doi.org/10.1093/rfs/hhad014
Colecciones
Articulos(SEDE CENTRAL)
Articulos de SEDE CENTRAL
Citación
Converse, Nathan; Levy Yeyati, Eduardo Luis; Williams, Tomas; How ETFs Amplify the Global Financial Cycle in Emerging Markets; Oxford University Press; The Review of Financial Studies; 36; 9; 9-2023; 3423-3462
Compartir
Altmétricas