Index-Linked Investing—A Curse for the Stability of Financial Markets around the Globe?
研究了欧美及新兴市场股票市场中交易模式、价格回报和流动性风险的共同变动增加，发现指数挂钩投资是主要驱动因素，导致市场脆弱性上升，建议投资经理在风险管理中考虑这一因素。
The authors analyze the development of various risk commonalities in Europe and the United States, as well as in emerging markets, and find a substantial increase in the co-movements in trading patterns, price returns, and liquidity risk within equity markets. They test the hypothesis that index-linked investing is a major driver for the increase in risk commonality. By aggregating the data in a cross-regional perspective, the authors capitalize on the different levels of indexation in the markets and find statistically significant and economically relevant evidence that the growth in index-linked investing is related to the increased co-movement within equity markets. The results suggest a significant increase in market fragility around the globe, leading to an increased danger of more severe reactions to unanticipated events going forward. Portfolio managers are well-advised to account for the increased proportion of index-linked investing within their risk management tools, diversification approaches, and active management strategies. <b>TOPICS:</b>Emerging, in markets, manager selection