当代金融研究2026，Vol.9Issue(3)：77-91,15.DOI:10.20092/j.cnki.ddjryj.2026.03.006
市场状态依赖视角下ETF对成分股风险的动态影响研究
Research on the Dynamic Impact of ETFs on the Risks of Constituent Stocks from the Perspective of Market State Dependence
李滨 1王雯 1张靖泽1
作者信息
- 1. 中泰证券股份有限公司,山东济南 250101
- 折叠
摘要
Abstract
As an important financial innovation in the capital market,exchange-tra-ded funds(ETF)improve market efficiency,while its actual impact on constituent stock risks remains to be further explored.Based on the panel data of China's A-share market from 2011 to 2025,this paper adopts the panel regression model to systematically examine the mechanism and linkage effect of ETFs on constituent stock volatility.Taking ETF shareholding ratio as the core perspective,this paper e-liminates the influence of general institutional shareholding and identifies the inde-pendent effect of unique ETF mechanisms.With China Volatility Index(CVIX)as the moderating variable,it captures the heterogeneity of market states and reveals the dynamic transformation law of ETF risk effects.Using index constituent adjust-ment as exogenous shock,this paper solves reverse causality and sample self-selec-tion bias to strengthen the reliability of causal inference.The research shows that the impact of ETFs on constituent stock risks has obvious state dependence.In sta-ble market conditions,ETFs act as a stabilizer by boosting market liquidity and ar-bitrage efficiency.During extreme market fluctuations,its bundled trading mecha-nism transmits selling pressure synchronously and turns into a risk amplifier.This paper constructs a unified explanatory framework for risk buffer theory and risk diffusion theory,provides a new perspective for understanding the dual-edged sword effect of ETFs,and offers practical references for regulators to optimize ETF supervision system and promote high-quality development of the capital market.关键词
ETF/流动性缓冲/风险扩散/风险传导/股价波动Key words
ETF/Liquidity Buffer/Risk Diffusion/Risk Transmission/Stock Price Volatility分类
管理科学引用本文复制引用
李滨,王雯,张靖泽..市场状态依赖视角下ETF对成分股风险的动态影响研究[J].当代金融研究,2026,9(3):77-91,15.
