As the global ETF market continues to grow, the significance of understanding replication strategies has become increasingly apparent. This study examines the compensation of synthetic exchange-traded funds (ETFs) due to their greater risk exposure than physical ETFs, using ETFs listed on developed European markets from 2009 to 2020. This is the first study to investigate liquidity risk related to the replication strategy of ETFs. We investigate the difference in systematic liquidity risk between synthetic and physical ETFs using a liquidity-adjusted capital asset pricing model (LCAPM). Our findings suggest that synthetic ETFs have higher liquidity risks than physical ETFs and offer additional returns within the low-liquidity group. We also analyze the tracking performance of ETFs based on their type and find that the synthetic replication method reduces tracking errors within the high-liquidity group. Specifically, the enhanced tracking performance of synthetic ETFs becomes more prominent during periods of liquidity shocks than in regular periods. These findings shed light on key considerations for resolving puzzles in tracking errors.

随着全球 ETF 市场的持续增长，了解复制策略的重要性变得越来越明显。本研究使用 2009 年至 2020 年在欧洲发达市场上市的 ETF，考察了合成交易所交易基金 (ETF) 的补偿，因为它们比实物 ETF 风险更大。这是第一项调查与复制策略相关的流动性风险的研究ETF。我们使用流动性调整资本资产定价模型 (LCAPM) 研究合成 ETF 和实物 ETF 之间系统流动性风险的差异。我们的研究结果表明，合成 ETF 比实物 ETF 具有更高的流动性风险，并在低流动性类别中提供额外回报。我们还根据ETF类型分析了ETF的跟踪性能，发现合成复制方法减少了高流动性组内的跟踪误差。具体而言，合成 ETF 的跟踪性能增强在流动性冲击期间比正常时期更加突出。这些发现揭示了解决跟踪误差难题的关键考虑因素。