Beschreibung:
This study investigates the consequences of ETFs growth on the risk measures and returns distribution symmetry of the underlying stocks across 32 countries. Our findings indicate that ETF ownership is associated with an increase in volatility and maximum drawdown for underlying assets in the United States. However, the results for other developed markets are the opposite. Further, the growth of ETF-owned securities has asymmetric effects on the left and right tails of the returns distribution in both markets. On the other hand, ETFs do not seem to affect stock prices in emerging markets