Research On The Influence Of ETF Holding Shares On Stock Price Synchronicity

With the development of financial technology and the complicated changes in the political and economic structure at home and abroad,the proportion of specialized investment in the financial market has gradually increased,and the risks faced by small and medium-sized investors are increasing.Many small and medium investors turn to invest in index funds.As a passive investment management tool,ETF has been sought after by the market once it was launched.According to statistics,since China launched the first ETF fund in 2004,after nearly 20 years of rapid development,the total scale of ETF fund management has exceeded 1.6 trillion yuan,and the total scale of stock ETF management has increased to 1.24 trillion yuan(by the end of 2022).As an underdeveloped emerging capital market,there has always been a phenomenon of "rising together and falling together" in China’s stock market,and the level of stock price synchronicity is high,which reduces the effectiveness of the financial market.Does the rapid development of ETF affect the effectiveness of China’s financial market? What impact will it have on the stocks of different listed companies? A correct understanding of these problems is helpful for ETF funds to achieve their investment goals,and at the same time,it is helpful to optimize the rational allocation of resources in China’s stock market and promote the long-term good development of China’s stock market.Therefore,this paper uses stock price synchronicity to measure the information effectiveness of individual stocks,studies the relationship between ETF holdings and stock price synchronicity,and further reveals its influence mechanism.By combing the existing literature and related theories,this paper analyzes the relationship between ETF holding shares and stock price synchronicity,and builds a model based on the transaction data of China’s A-share listed companies from 2011 to 2021 to empirically test the influence of ETF holding shares on stock price synchronicity.In addition,this paper further analyzes the heterogeneity of the influence of ETF fund holding shares on stock price synchronicity from the aspects of equity concentration,stock liquidity and company size,and analyzes the influence path of ETF holdings on stock price synchronicity by using institutional investors,equity balance and information disclosure system.The results show that: firstly,the increase in the shareholding ratio of ETF funds has significantly improved the level of stock price synchronicity;Second,the lower the level of equity concentration,the smaller the stock liquidity and the larger the scale,the stronger the influence of ETF holding on stock price synchronicity.;Thirdly,the increase of ETF’s shares holding ratio will reduce institutional investors’ shares holding ratio and equity balance,reduce the quality of information disclosure and improve stock price synchronicity.Finally,we discuss the endogenous problems of the empirical results of this paper,and get the empirical research results of this paper on the basis of a series of robustness test results,and put forward the following suggestions:(1)market supervision should be strengthened,the information disclosure system of the stock marke should be improve;(2)control the development scale of index funds reasonably and promote the development of institutional investors for playing their positive role;(3)Ordinary investors and individual investors should not blindly believe in ETF but be guided to invest rationally.