000144593 001__ 144593
000144593 005__ 20250923084421.0
000144593 0247_ $$2doi$$a10.1186/s40854-023-00591-2
000144593 0248_ $$2sideral$$a139430
000144593 037__ $$aART-2024-139430
000144593 041__ $$aeng
000144593 100__ $$aLaborda, Juan
000144593 245__ $$aCan ETFs affect U.S. financial stability? A quantile cointegration analysis
000144593 260__ $$c2024
000144593 5060_ $$aAccess copy available to the general public$$fUnrestricted
000144593 5203_ $$aThis study evaluates whether exchange traded funds (ETFs) threaten financial market stability by testing two hypotheses relating the growing importance of ETFs to increased market volatility and rising equity valuations. We estimate quantile cointegration models using Standard & Poor's 500 Index (S&P 500) and Chicago Board Options Exchange volatility Index (VIX) data for 1994–2020. We found that an increase in ETFs is positively and significantly related to the long-term valuation of the S&P 500 for quantile values above the median. By contrast, ETFs have only a negative and significant effect on the VIX for quantiles around the median. Ultimately, two novel results were obtained. First, the distortion in the value of the S&P 500 relative to its fundamentals is driven by investor flow into ETFs during a bull market. Second, the impact of equity ETFs on the VIX is only affected when fundamental factors are in play, decreasing it. Therefore, ETFs contribute to forming equity bubbles and support valuation market dynamics. Both regulators and policymakers should consider these conclusions.
000144593 536__ $$9info:eu-repo/grantAgreement/ES/MICINN/PID2020-113338RB-I00$$9info:eu-repo/grantAgreement/ES/DGA/S42-23R-CREVALOR
000144593 540__ $$9info:eu-repo/semantics/openAccess$$aby$$uhttp://creativecommons.org/licenses/by/3.0/es/
000144593 590__ $$a7.2$$b2024
000144593 592__ $$a1.287$$b2024
000144593 591__ $$aSOCIAL SCIENCES, MATHEMATICAL METHODS$$b1 / 68 = 0.015$$c2024$$dQ1$$eT1
000144593 593__ $$aManagement of Technology and Innovation$$c2024$$dQ1
000144593 591__ $$aBUSINESS, FINANCE$$b9 / 241 = 0.037$$c2024$$dQ1$$eT1
000144593 593__ $$aFinance$$c2024$$dQ1
000144593 655_4 $$ainfo:eu-repo/semantics/article$$vinfo:eu-repo/semantics/publishedVersion
000144593 700__ $$0(orcid)0000-0002-2132-2151$$aLaborda, Ricardo
000144593 700__ $$ade la Cruz, Javier
000144593 773__ $$g10 (2024), 64 [24 pp.]$$tFinancial Innovation$$x2199-4730
000144593 8564_ $$s1723121$$uhttps://zaguan.unizar.es/record/144593/files/texto_completo.pdf$$yVersión publicada
000144593 8564_ $$s2098180$$uhttps://zaguan.unizar.es/record/144593/files/texto_completo.jpg?subformat=icon$$xicon$$yVersión publicada
000144593 909CO $$ooai:zaguan.unizar.es:144593$$particulos$$pdriver
000144593 951__ $$a2025-09-22-14:35:44
000144593 980__ $$aARTICLE