상장지수펀드와 주식 유동성

초록

Purpose - Exchange-traded funds (ETFs) are a fast‑growing investment vehicle due to their low-cost structure and ease of trading. Despite the rapid expansion of the ETF market, the ways in which ETFs affect the underlying stock market are not yet well understood. This paper examines the impact of an increase in ETF ownership on stock liquidity. Design/methodology/approach - We construct an unbalanced panel of data on Korean listed firms over the period 2013:1Q to 2025:2Q. To address biases arising from both cross-sectional and serial correlation, this paper employs standard errors clustered by both firm and time in the panel fixed-effects estimation. We consider three different measures of liquidity to capture various dimensions of market liquidity: Amihud illiquidity, the turnover ratio, and the bid-ask spread. Findings - Our analysis shows that increased ETF ownership is associated with higher Amihud illiquidity, lower turnover, and a larger bid-ask spread. However, the relationship between ETF ownership and stock liquidity is time-varying. From 2013 to 2020, higher ETF ownership is associated with deteriorating liquidity as measured by Amihud illiquidity and turnover, while the bid-ask spread widens during the period from 2021 to 2025. Furthermore, we find heterogeneity in the impact of ETF ownership on stock liquidity depending on firm characteristics such as size, volatility, float, and ownership structure. Overall, the findings support the view that ETFs impair stock market liquidity. Research implications or Originality - This paper provides new evidence on the effect of ETF ownership on stock liquidity, which will be informative in understanding the role of ETFs in capital markets.

키워드