We theoretically analyze how index investing affects financial markets using a dynamic exchange economy with heterogeneous investors and two Lucas trees. We identify two effects of indexing: lockstep trading of stocks increases market volatility and stock return correlations but reduction in risk sharing decreases them. Overall, indexing decreases market volatility but has an ambiguous effect on the correlations. Also, index investing decreases an investor’s welfare, but indexing by other investors partially offsets the loss. When the introduction of index trading opens financial markets for new investors, the improved risk sharing makes market returns more volatile and stock returns more correlated.

我们从理论上分析了指数投资如何通过具有异类投资者和两棵卢卡斯树的动态交换经济来影响金融市场。我们发现索引的两个作用：股票的锁步交易增加了市场的波动性和股票收益率的相关性，但风险分担的减少使它们减少了。总体而言，指数化降低了市场波动性，但对相关性却产生了模糊的影响。同样，指数投资减少了投资者的福利，但其他投资者的指数化部分抵消了损失。当指数交易的推出为新投资者打开金融市场时，改善的风险分担使市场回报更加波动，股票回报也更加相关。