The Influence Of Equity ETF Holdings On The Return Volatility Of Constituent Stocks

Since the launch of the first equity-based ETF fund in 2005,ETF fund has achieved considerable development in China.Especially since 2010,the development speed has been increased year by year,and the number of ETF funds increased by 78%in 2021.The explosive growth of ETF funds poses a challenge to the research on a single ETF fund,and the existing literature is relatively short of research on stock volatility.Therefore,the research sample of this paper covers all ETF funds from 2006 to 2021,and analyzes their impact on stock return volatility from the perspective of the entire security products of ETF funds.And from the perspective of stock liquidity and institutional investors to explore the influence mechanism.Via empirical finding,ETF inhibitory effect on the volatility of stock returns,and help to improve the stock liquidity,but there is a positive relationship between stock liquidity and volatility,therefore cannot be as the main factors of ETF fund inhibition of stock volatility,ETF institutional shareholders also has inhibitory effect on stock returns volatility,However,it still cannot fully explain the mechanism of the inhibition effect of ETF on stock returns.