ETF ownership and stock price crash risk: evidence from China

被引：0
|
作者：
Wu, Jie [1 ,2 ]
Zhou, Mi [3 ]
Lv, Dayong [4 ,5 ]
机构：
[1] Shanghai Lixin Univ Accounting & Finance, Sch Finance, Shanghai, Peoples R China
[2] Shanghai Jiao Tong Univ, Antai Coll Econ & Management, Shanghai, Peoples R China
[3] Tongji Univ, Sch Econ & Management, Shanghai, Peoples R China
[4] Shanghai Lixin Univ Accounting & Finance, Sch Financial Technol, Shanghai, Peoples R China
[5] Shanghai Lixin Univ Accounting & Finance, Sch Financial Technol, 995 Shangchuan Rd, Shanghai 201209, Peoples R China
来源：
APPLIED ECONOMICS LETTERS | 2023年
基金：
中国国家自然科学基金;
关键词：
ETF ownership; stock price crash risk; passive fund; liquidity; China; RETURNS;
D O I：
10.1080/13504851.2023.2289388
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Exchange-traded funds (ETFs) grow rapidly and attract increasing attention from academia and practitioners. Based on data from the Chinese financial market, we investigate whether ETF inflows affect the price crash risk of underlying stocks. Results show that greater ETF ownership leads to higher stock price crash risk in the future. Besides, stocks with greater ETF ownership have significantly smaller Amihud illiquidity and higher turnover, supporting the 'liquidity mechanism'. Our results complement related literature by showing that passive funds can also benefit stock price formation.
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收藏
页数：6
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