ETF indexing strategies and asset prices: Experimental evidence
通过实验室实验，研究了ETF的等权重与市值加权指数化策略如何影响成分资产的价格、订单失衡和买卖价差，发现等权重ETF会显著改变相对价格。
We experimentally examine whether and how the indexing strategy used by exchange traded funds (ETFs) affects the prices of the constituent assets. We study this issue in both the primary market (ETF creations and redemptions using bots as authorized participants) and the secondary market. The experiment includes three environments: (i) no ETF, (ii) an equal weighted ETF, and (iii) an unequal, market cap weighted ETF. We find that compared to the baseline of no ETFs, the introduction of ETFs significantly affects the relative prices of the constituent assets in the equal weighted ETF but not in the unequal weighted, market-cap based ETF. The introduction of ETFs also affects order imbalances and bid-ask spreads particularly for the asset in shortest supply.