Exchange traded funds and asset return correlations
研究通过美国股票ETF数据，发现套利者通过ETF套利活动会增强股票收益的联动性，尤其在小型和流动性差的股票中更明显，且部分联动可能是过度的价格反转。
Abstract We provide novel evidence supporting the notion that arbitrageurs can contribute to return comovement via exchange trade funds (ETF) arbitrage. Using a large sample of US equity ETF holdings, we document the link between measures of ETF activity and return comovement at both the fund and the stock levels, after controlling for a host of variables and fixed effects and by exploiting the ‘discontinuity’ between stock indices. The effect is also stronger among small and illiquid stocks. An examination of ETF return autocorrelations and stock lagged beta provides evidence for price reversal, suggesting that some ETF‐driven return comovement may be excessive.