ETF标的证券联动传染——基于网络结构的空间联动溢出效应研究  

Spatial Comovement Contagion of Trading Characteristics of ETF Underlying Securities Based on Network Structure:Evidence from China

作　　者：谢沛霖 张露 唐咏家 张浩 HSIEH Peilin;ZHANG Lu;TANG Yongjia;ZHANG Hao(College of Commerce,National Chengchi University,Taibei 11605,China;Xiamen University,Xiamen 361005,China;Guangdong Yuecai Investment Holdings Co.,Ltd.,Guangzhou 510045,China)

机构地区：[1]台湾省政治大学商学院财务管理系,中国台湾 [2]厦门大学经济学院 [3]广东粤财投资控股有限公司

出　　处：《金融评论》2024年第3期90-109,157,共21页Chinese Review of Financial Studies

基　　金：国家自然科学基金面上项目《期权高阶距风险溢价模型-基于做市商期权定价风险的理论建模和与实证分析》(批准号72071167)的资助。

摘　　要：股票联动性是金融市场关注的重要问题之一。本文基于沪深2006年至2019年的权益ETF数据,通过ETF持仓明细数据建立股票网络,借助空间计量模型检验了ETF标的证券网络之间的联动溢出效应。研究发现ETF标的股三个主要交易特征,回报率、成交量和流动性,都表现出空间网络联动溢出效应。随着时间的推移,ETF数量增加,更多股票被纳入ETF成分股范围,股票间的空间关系变得更为紧密,进一步增强了空间联动传染性,展示了ETF标的证券空间网络溢出效应的动态趋势。机制分析表明,ETF独特的套利活动是股票空间联动传染增加的重要微观机制。研究表明ETF持股网络结构对股票联动传染具有重要影响,机构投资者持股结构对金融稳定的综合影响具有重要意义。This study examines the spatial spillover effect of Exchange Traded Fund(ETF)ownership on the comovement of trading characteristics,including liquidity,trading volume,and returns of underlying stocks.Using Spatial Autoregressive Model analyses of time-varying spatial o-1 matrices and spatial-weighted matrices,we uncover the network structure among ETF underlying securities.Our findings demonstrate that ETFs induce comovement spillover effects in the rate of return,trading volume,and liquidity of the underlying stocks,propagated through their network relationships.Observations over three periods reveal that as the number of ETFs increases and more stocks are included as ETF constituents,the spatial relationships among stocks strengthen,leading to greater comovement contagion of trading characteristics.These trends highlight dynamic spillover effects within the ETF underlying security space network.Multiple robustness tests and an endogeneity test confirm the validity of our results.Mechanism analysis indicates that ETF arbitrage activities are a key micro-mechanism driving the increase in spatial comovement contagion.This study enhances the understanding of micro-level comovement contagion within ETF shareholding networks,enriching insights into stock market linkages and capital market dynamics.By exploring the ETF perspective,the research underscores the significant impact of underlying network structures on stock comovement contagion and the comprehensive influence of institutional investor shareholding structures on financial stability.

关 键 词：ETF 空间联动传染 网络结构 机构投资者 

分 类 号：F832[经济管理—金融学]