144593 20260217205522.0 doi 10.1186/s40854-023-00591-2 sideral 139430 ART-2024-139430 eng Laborda, Juan Can ETFs affect U.S. financial stability? A quantile cointegration analysis 2024 Access copy available to the general public Unrestricted This 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. info:eu-repo/grantAgreement/ES/DGA/S42-23R-CREVALOR info:eu-repo/grantAgreement/ES/MICINN/PID2020-113338RB-I00 info:eu-repo/semantics/openAccess by https://creativecommons.org/licenses/by/4.0/deed.es 7.2 2024 SOCIAL SCIENCES, MATHEMATICAL METHODS 1 / 68 = 0.015 2024 Q1 T1 BUSINESS, FINANCE 9 / 242 = 0.037 2024 Q1 T1 1.287 2024 Management of Technology and Innovation 2024 Q1 Finance 2024 Q1 12.9 2024 info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Laborda, Ricardo (orcid)0000-0002-2132-2151 de la Cruz, Javier 10 (2024), 64 [24 pp.] Financial Innovation 2199-4730 1723121 http://zaguan.unizar.es/record/144593/files/texto_completo.pdf Versión publicada 2098180 http://zaguan.unizar.es/record/144593/files/texto_completo.jpg?subformat=icon icon Versión publicada oai:zaguan.unizar.es:144593 articulos driver 2026-02-17-20:29:15 ARTICLE