Financial Analyst Journal, Volume 68, Issue2, 2012

指数交易如何增加市场脆弱性

作者：Rodney N. Sullivan (CFA Institute),

James X. Xiong (Morningstar Investment Management)

摘要：作者发现指数交易的受欢迎程度的上升——投资于指数基金的资产在2010年底达到1万亿美元以上——导致更高的系统性股票市场风险。结果表明股指交易越多，横截面交易共性越强，股票之间回报的相关性就越高。与被动交易的加速增长相一致，作者发现，近年来股票的贝塔值不仅上升而且趋同。

How Index Trading Increases Market Vulnerability

Rodney N. Sullivan (CFA Institute), James X. Xiong (Morningstar Investment Management)

ABSTRACT

The authors found that the rise in popularity of index trading—assets invested in index funds reached more than $1 trillion at the end of 2010—contributes to higher systematic equity market risk. More equity index trading corresponds to increased cross-sectional trading commonality, which precipitates higher return correlations among stocks. Consistent with the accelerating growth of passive trading, the authors found that equity betas have not only risen but also converged in recent years.

原文链接：

https://www.cfapubs.org/doi/abs/10.2469/faj.v68.n2.7

翻译：秦秀婷