Do ETFs increase the comovements of their underlying assets? Evidence from a switch in ETF replication technique
利用一只法国大型ETF从合成复制转向实物复制的自然实验，发现转换后成分股在收益和流动性上的联动性增强，且ETF的创设与赎回是传导机制。
We investigate the impact of Exchange-Traded Funds (ETFs) on the comovements of their constituent securities using a novel identification that exploits the switch from synthetic to physical replication of a large French ETF. After the switch, constituent stocks experience greater commonality, in both returns and liquidity. For both the full sample of ETF constituents and the least liquid ETF constituents, a larger part of the variation in individual stock returns or liquidity is explained by market-wide variations. We present evidence that ETF creation and redemption is the transmission mechanism of the comovements. Moreover, we show that the comovements do not appear excessive.