We study how the growth of exchange-traded funds (ETFs) affects the sensitivity of international capital flows to the global financial cycle. Using comprehensive fund-level data on investor flows, we show that their sensitivity to global financial conditions for equity (bond) ETFs is 2.5 (2.25) times higher than for equity (bond) mutual funds. This higher sensitivity can be directly linked to ETFs underlying shorter-trading-horizon clientele that trades more often in response to shocks. Using country-level data, we find that where ETFs hold a larger share of financial assets, equity inflows and prices become more sensitive to global risk.

中文翻译：

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ETF 如何放大新兴市场的全球金融周期

我们研究交易所交易基金 (ETF) 的增长如何影响国际资本流动对全球金融周期的敏感性。使用有关投资者流动的综合基金层面数据，我们表明，股票（债券）ETF 对全球金融状况的敏感度是股票（债券）共同基金的 2.5 (2.25) 倍。这种更高的敏感性可以直接与交易期限较短的客户的 ETF 相关联，这些客户更频繁地交易以应对冲击。使用国家层面的数据，我们发现，在 ETF 持有较大份额的金融资产的地方，股票流入和价格对全球风险变得更加敏感。