This study evaluates whether exchange traded funds (ETFs) threaten financial market stability by testing two hypotheses relating the growing importance of ETFs to increased market volatility and rising equity valuations. We estimate quantile cointegration models using Standard & Poor's 500 Index (S&P 500) and Chicago Board Options Exchange volatility Index (VIX) data for 1994–2020. We found that an increase in ETFs is positively and significantly related to the long-term valuation of the S&P 500 for quantile values above the median. By contrast, ETFs have only a negative and significant effect on the VIX for quantiles around the median. Ultimately, two novel results were obtained. First, the distortion in the value of the S&P 500 relative to its fundamentals is driven by investor flow into ETFs during a bull market. Second, the impact of equity ETFs on the VIX is only affected when fundamental factors are in play, decreasing it. Therefore, ETFs contribute to forming equity bubbles and support valuation market dynamics. Both regulators and policymakers should consider these conclusions.

中文翻译：

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ETF会影响美国金融稳定吗？分位数协整分析

本研究通过测试两个假设来评估交易所交易基金 (ETF) 是否威胁金融市场稳定：ETF 的重要性日益增加，导致市场波动加剧和股票估值上升。我们使用 1994 年至 2020 年标准普尔 500 指数 (S&P 500) 和芝加哥期权交易所波动率指数 (VIX) 数据来估计分位数协整模型。我们发现，ETF 的增加与标准普尔 500 指数高于中位数的分位数长期估值呈显着正相关。相比之下，ETF 仅对 VIX 中位数附近的分位数产生显着的负面影响。最终，获得了两个新颖的结果。首先，标普 500 指数相对于其基本面的价值扭曲是由投资者在牛市期间流入 ETF 造成的。其次，股票 ETF 对 VIX 的影响只有在基本面因素发挥作用时才会受到影响，从而降低 VIX 指数。因此，ETF有助于形成股票泡沫并支持估值市场动态。监管者和政策制定者都应该考虑这些结论。