How ETFs Amplify the Global Financial Cycle in Emerging Markets

Autores
Converse, Nathan; Levy Yeyati, Eduardo Luis; Williams, Tomas
Año de publicación
2023
Idioma
inglés
Tipo de recurso
artículo
Estado
versión publicada
Descripción
We study how the growth of exchange-traded funds (ETFs) affects the sensitivity ofinternational capital flows to the global financial cycle. Using comprehensive fund-leveldata on investor flows, we show that their sensitivity to global financial conditions for equity(bond) ETFs is 2.5 (2.25) times higher than for equity (bond) mutual funds. This highersensitivity can be directly linked to ETFs underlying shorter-trading-horizon clientele thattrades more often in response to shocks. Using country-level data, we find that where ETFshold a larger share of financial assets, equity inflows and prices become more sensitive toglobal risk.
Fil: Converse, Nathan. No especifíca;
Fil: Levy Yeyati, Eduardo Luis. Universidad Torcuato Di Tella. Escuela de Gobierno; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
Fil: Williams, Tomas. The George Washington University; Estados Unidos
Materia
ETF
Arbitraje
Liquidez
Crisis
Nivel de accesibilidad
acceso abierto
Condiciones de uso
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
Repositorio
CONICET Digital (CONICET)
Institución
Consejo Nacional de Investigaciones Científicas y Técnicas
OAI Identificador
oai:ri.conicet.gov.ar:11336/243937
Acceder
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network_acronym_str CONICETDig
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network_name_str CONICET Digital (CONICET)
spelling How ETFs Amplify the Global Financial Cycle in Emerging MarketsConverse, NathanLevy Yeyati, Eduardo LuisWilliams, TomasETFArbitrajeLiquidezCrisishttps://purl.org/becyt/ford/5.2https://purl.org/becyt/ford/5We study how the growth of exchange-traded funds (ETFs) affects the sensitivity ofinternational capital flows to the global financial cycle. Using comprehensive fund-leveldata on investor flows, we show that their sensitivity to global financial conditions for equity(bond) ETFs is 2.5 (2.25) times higher than for equity (bond) mutual funds. This highersensitivity can be directly linked to ETFs underlying shorter-trading-horizon clientele thattrades more often in response to shocks. Using country-level data, we find that where ETFshold a larger share of financial assets, equity inflows and prices become more sensitive toglobal risk.Fil: Converse, Nathan. No especifíca;Fil: Levy Yeyati, Eduardo Luis. Universidad Torcuato Di Tella. Escuela de Gobierno; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; ArgentinaFil: Williams, Tomas. The George Washington University; Estados UnidosOxford University Press2023-09info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfapplication/pdfhttp://hdl.handle.net/11336/243937Converse, Nathan; Levy Yeyati, Eduardo Luis; Williams, Tomas; How ETFs Amplify the Global Financial Cycle in Emerging Markets; Oxford University Press; The Review of Financial Studies; 36; 9; 9-2023; 3423-34620893-94541465-7368CONICET DigitalCONICETenginfo:eu-repo/semantics/altIdentifier/url/https://academic.oup.com/rfs/article/36/9/3423/7048682info:eu-repo/semantics/altIdentifier/doi/10.1093/rfs/hhad014info:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by-nc-sa/2.5/ar/reponame:CONICET Digital (CONICET)instname:Consejo Nacional de Investigaciones Científicas y Técnicas2025-10-22T12:18:20Zoai:ri.conicet.gov.ar:11336/243937instacron:CONICETInstitucionalhttp://ri.conicet.gov.ar/Organismo científico-tecnológicoNo correspondehttp://ri.conicet.gov.ar/oai/requestdasensio@conicet.gov.ar; lcarlino@conicet.gov.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:34982025-10-22 12:18:20.478CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicasfalse
dc.title.none.fl_str_mv How ETFs Amplify the Global Financial Cycle in Emerging Markets
title How ETFs Amplify the Global Financial Cycle in Emerging Markets
spellingShingle How ETFs Amplify the Global Financial Cycle in Emerging Markets
Converse, Nathan
ETF
Arbitraje
Liquidez
Crisis
title_short How ETFs Amplify the Global Financial Cycle in Emerging Markets
title_full How ETFs Amplify the Global Financial Cycle in Emerging Markets
title_fullStr How ETFs Amplify the Global Financial Cycle in Emerging Markets
title_full_unstemmed How ETFs Amplify the Global Financial Cycle in Emerging Markets
title_sort How ETFs Amplify the Global Financial Cycle in Emerging Markets
dc.creator.none.fl_str_mv Converse, Nathan
Levy Yeyati, Eduardo Luis
Williams, Tomas
author Converse, Nathan
author_facet Converse, Nathan
Levy Yeyati, Eduardo Luis
Williams, Tomas
author_role author
author2 Levy Yeyati, Eduardo Luis
Williams, Tomas
author2_role author
author
dc.subject.none.fl_str_mv ETF
Arbitraje
Liquidez
Crisis
topic ETF
Arbitraje
Liquidez
Crisis
purl_subject.fl_str_mv https://purl.org/becyt/ford/5.2
https://purl.org/becyt/ford/5
dc.description.none.fl_txt_mv We study how the growth of exchange-traded funds (ETFs) affects the sensitivity ofinternational capital flows to the global financial cycle. Using comprehensive fund-leveldata on investor flows, we show that their sensitivity to global financial conditions for equity(bond) ETFs is 2.5 (2.25) times higher than for equity (bond) mutual funds. This highersensitivity can be directly linked to ETFs underlying shorter-trading-horizon clientele thattrades more often in response to shocks. Using country-level data, we find that where ETFshold a larger share of financial assets, equity inflows and prices become more sensitive toglobal risk.
Fil: Converse, Nathan. No especifíca;
Fil: Levy Yeyati, Eduardo Luis. Universidad Torcuato Di Tella. Escuela de Gobierno; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
Fil: Williams, Tomas. The George Washington University; Estados Unidos
description We study how the growth of exchange-traded funds (ETFs) affects the sensitivity ofinternational capital flows to the global financial cycle. Using comprehensive fund-leveldata on investor flows, we show that their sensitivity to global financial conditions for equity(bond) ETFs is 2.5 (2.25) times higher than for equity (bond) mutual funds. This highersensitivity can be directly linked to ETFs underlying shorter-trading-horizon clientele thattrades more often in response to shocks. Using country-level data, we find that where ETFshold a larger share of financial assets, equity inflows and prices become more sensitive toglobal risk.
publishDate 2023
dc.date.none.fl_str_mv 2023-09
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
http://purl.org/coar/resource_type/c_6501
info:ar-repo/semantics/articulo
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv http://hdl.handle.net/11336/243937
Converse, Nathan; Levy Yeyati, Eduardo Luis; Williams, Tomas; How ETFs Amplify the Global Financial Cycle in Emerging Markets; Oxford University Press; The Review of Financial Studies; 36; 9; 9-2023; 3423-3462
0893-9454
1465-7368
CONICET Digital
CONICET
url http://hdl.handle.net/11336/243937
identifier_str_mv Converse, Nathan; Levy Yeyati, Eduardo Luis; Williams, Tomas; How ETFs Amplify the Global Financial Cycle in Emerging Markets; Oxford University Press; The Review of Financial Studies; 36; 9; 9-2023; 3423-3462
0893-9454
1465-7368
CONICET Digital
CONICET
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv info:eu-repo/semantics/altIdentifier/url/https://academic.oup.com/rfs/article/36/9/3423/7048682
info:eu-repo/semantics/altIdentifier/doi/10.1093/rfs/hhad014
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
eu_rights_str_mv openAccess
rights_invalid_str_mv https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv Oxford University Press
publisher.none.fl_str_mv Oxford University Press
dc.source.none.fl_str_mv reponame:CONICET Digital (CONICET)
instname:Consejo Nacional de Investigaciones Científicas y Técnicas
reponame_str CONICET Digital (CONICET)
collection CONICET Digital (CONICET)
instname_str Consejo Nacional de Investigaciones Científicas y Técnicas
repository.name.fl_str_mv CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicas
repository.mail.fl_str_mv dasensio@conicet.gov.ar; lcarlino@conicet.gov.ar
_version_ 1846782613866414080
score 12.982451

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