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.
引用
收藏
页数：6
相关论文
共 50 条
  • [21] Corporate Philanthropy and Stock Price Crash Risk: Evidence from China
    Min Zhang
    Lu Xie
    Haoran Xu
    [J]. Journal of Business Ethics, 2016, 139 : 595 - 617
  • [22] Employee treatment and stock price crash risk: evidence from China
    Wang, Maochuan
    Xu, Xixiong
    Wang, Siqi
    [J]. INTERNATIONAL JOURNAL OF EMERGING MARKETS, 2023,
  • [23] Political connections and stock price crash risk: Evidence from China
    Luo, Jin-hui
    Gong, Manning
    Lin, Yilong
    Fang, Qifeng
    [J]. ECONOMICS LETTERS, 2016, 147 : 90 - 92
  • [24] Internal Control and Stock Price Crash Risk: Evidence from China
    Chen, Jun
    Chan, Kam C.
    Dong, Wang
    Zhang, Feida
    [J]. EUROPEAN ACCOUNTING REVIEW, 2017, 26 (01) : 125 - 152
  • [25] Gambling preferences and stock price crash risk: Evidence from China
    Ji, Qiong
    Quan, Xiaofeng
    Yin, Hongying
    Yuan, Qingbo
    [J]. JOURNAL OF BANKING & FINANCE, 2021, 128
  • [26] Reverse mergers and stock price crash risk: evidence from China
    Cheng, Zijian
    Liu, Zhangxin
    Xie, Jiaxin
    [J]. JOURNAL OF ACCOUNTING LITERATURE, 2022, 44 (2/3) : 192 - 227
  • [27] Analyst Herding and Stock Price Crash Risk: Evidence from China
    Xu, Nianhang
    Jiang, Xuanyu
    Chan, Kam C.
    Wu, Shinong
    [J]. JOURNAL OF INTERNATIONAL FINANCIAL MANAGEMENT & ACCOUNTING, 2017, 28 (03) : 308 - 348
  • [28] Social trust and stock price crash risk: Evidence from China
    Cao, Chunfang
    Xia, Changyuan
    Chan, Kam C.
    [J]. INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2016, 46 : 148 - 165
  • [29] Tournament incentives and stock price crash risk: Evidence from China
    Sun, Sophia Li
    Habib, Ahsan
    Huang, Hedy Jiaying
    [J]. PACIFIC-BASIN FINANCE JOURNAL, 2019, 54 : 93 - 117
  • [30] Corporate Philanthropy and Stock Price Crash Risk: Evidence from China
    Zhang, Min
    Xie, Lu
    Xu, Haoran
    [J]. JOURNAL OF BUSINESS ETHICS, 2016, 139 (03) : 595 - 617
12345