Journal of Financial Markets，Volume 41, November 2018, Pages 36-56

杠杆ETF是否真的会放大尾盘收益率和波动率？

作者：Ivan T.Ivanov(Federal Reserve Board)

Stephen L.Lenkey (Pennsylvania State University)

摘要：杠杆交易和反向交易所交易基金（ETF）的设计引发了人们的担忧，即它们可能会通过与同期回报相同的方向来机械地对投资组合进行再平衡，这会加剧金融市场的波动。 然而，我们从理论上表明，资本流动可以降低ETF的再平衡需求并在限制范围内完全消除它。使用2006年至2014年的美国股票型ETF样本，我们发现即使在面临严重的市场压力期间，资本流动也会大幅降低ETF再平衡需求。在考虑资本流动和标准风险因素后，我们发现ETF再平衡对尾盘收益和波动性的影响在经济上是微不足道的。

关键词：杠杆ETF;资本流动; 尾盘收益;波动率

Do leveraged ETFs really amplify late-day returns and volatility?

Ivan T.Ivanov(Federal Reserve Board)；Stephen L.Lenkey (Pennsylvania State University)

ABSTRACT

The design of leveraged and inverse exchange-traded funds (ETFs) has raised concerns that they may exacerbate volatility in financial markets by mechanically rebalancing their portfolios in the same direction as contemporaneous returns. We show theoretically, however, that capital flows can lower ETF rebalancing demand and completely eliminate it in the limit. Using a sample of U.S. equity-based ETFs from 2006 to 2014, we find that capital flows substantially reduce ETF rebalancing demand, even during periods of severe market stress. After accounting for capital flows and standard risk factors, we find that the impact of ETF rebalancing on late-day returns and volatility is economically insignificant.

Keywords: Leveraged ETFs；Capital flows；Late-day returns；Volatility

原文链接：https://www.sciencedirect.com/science/article/pii/S1386418117302604

翻译：黄涛