ETF Sampling and Index Arbitrage
研究发现ETF会系统性地低配或忽略流动性差的指数成分股，导致套利活动对不同股票产生异质性影响：对流动性好的股票降低流动性、价格效率并增加波动，对流动性差的股票则无影响。
Abstract This article shows that exchange-traded funds (ETFs) “sample” their indexes, systematically underweighting or omitting illiquid index stocks. As a result, arbitrage activity between the ETF and its index has heterogeneous effects on underlying asset markets. Using an instrumental variables approach, we find that the trading activity of ETFs reduces liquidity and price efficiency and increases volatility and co-movement for liquid stocks but has no effect on illiquid stocks. Our results demonstrate that the effects of passive investing on asset markets depend on how passive funds replicate their target index.