The Comparison and Analysis of Exchange Traded Funds (ETFs) Return Rates

Luqi Yuan and Shihong Zeng

Journal of Applied Finance & Banking, 2023, vol. 13, issue 2, 4

Abstract: Based on the trading data of A-share listed companies held by ETFs and the shareholding data of exchange-traded funds during 2011-2022 in China stocks markets, this paper uses the dynamic panel differential GMM model to study the shareholding ratio of exchange-traded funds and the impact of its changes on the liquidity of the underlying stocks. First, all the samples were regression and empirical results were analyzed. Then, the main board of Shanghai and Shenzhen, small and medium-sized board and growth enterprise board stocks were respectively regression to draw conclusions, and the robustness of the above research was tested. In the end, two main conclusions are drawn from the above research: (1) There is a significant positive correlation between the shareholding ratio of ETFs and stock liquidity, that is, the higher the shareholding ratio of ETFs, the higher stock liquidity. (2) The positive change of ETFs shareholding ratio will significantly increase the liquidity of the underlying listed companies' stocks. Â JEL classification numbers: G11.

Keywords: Exchange-traded fund; Rate of return; Research and analysis. (search for similar items in EconPapers)
Date: 2023
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