Research On The Influence Of Equity ETF On The Price Characteristics Of Constituent Stocks

In recent years,with the rapid development of equity ETF,many scholars at home and abroad have paid attention to it.With the increasing scale of equity ETF,the trading behavior of equity ETF is accompanied by the inflow and outflow of large amounts of funds.All these factors will affect the price features of its component stocks,including codirectional variability and volatility.Because of these problems,using data of Chinese equity ETF and its constituent stocks from 2011-2021,this study constructs variable indicators and explores the effects of shareholdings ratio and trading behavior of ETF on codirectional variability and volatility of its constituent stocks,based on behavioral finance and traditional finance theories.In this paper,its transmission path is also been combed.Using the method of grouping regression,the effects of equity ETF on the codirectional variability and volatility of their constituent stocks in bull,bear,and flat markets are inspected separately,and the effects of equity ETF traded on different exchanges on the codirectional variability and volatility of their constituent stocks are explored.According to the study: first,the higher shareholding ratio of equity ETF is,the higher codirectional variability and volatility of its constituent stocks is;second,the more frequent trading behavior of equity ETF is,the higher codirectional variability and volatility of its constituent stocks is;third,the increase of shareholding ratio of equity ETF will reduce analysts’ attention,then improve the codirectional variability and volatility of constituent stocks;fourth,in the bull market and bear market,the shareholding ratio of equity ETF has a significant positive correlation with the codirectional volatility of its constituent stocks.In the flat market,the effect of shareholding ratio of equity ETF on the codirectional volatility of its constituent stocks is not significant;fifth,in the bull market and bear market,the effect of shareholding ratio on the volatility of its constituent stocks is not significant.In the flat market,the shareholding ratio of stock ETF has a significant positive effect on the volatility of its constituent stocks;sixth,in the bull market,bear market,and flat market,the trading behavior of equity ETF has a significant positive correlation with the codirectional volatility and volatility of its constituent stocks;seventh,in the case of Shanghai Stock Exchange and Shenzhen Stock Exchange,the shareholding ratio and trading behavior of equity ETF have a significant positive impact on the codirectional volatility and volatility of its constituent stocks.The paper also makes targeted suggestions to regulators,fund management companies,and investors according to these studies.The research in this paper has some reference value for understanding the effects of shareholding ratio and trading behavior of equity ETF on the price features of its constituent stocks and on the stability of the stock market in China,as well as on how to stabilize the stock market.