国内ETF对股票波动率的影响研究

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中图分类号：F832.5 文献标识码：A 文章编号：1004-0714（2026）02-0075-04

Research on the Impact of Domestic ETFs on Stock Volatility

TAN Fujia

（ShanghaiSecuritiesCo.，Ltd，2ooooo，Shanghai，China）

Abstract：Exchange-traded funds（ETFs），as a significant formof index funds，represent amajor financial innovationwithin China‘scapital markets.Therapidexpansionof thedomesticETFmarket hasrendered their influence on the stock market increasingly apparent，particularlywith regard to their impact on stock volatility，a phenomenonwhichhas attracted considerableattention.However，extant research has yet toreacha consensuson how ETF holdings influence stock volatility，and domesticliterature remainslimited inexaminingdifferentiated effectsacross various ETFtypes and stocks of differing market capitalisation.Inlight of the aforementioned context，the present study systematically examines the impact of ETFs on China‘s stock market and further analyses their performance variations under different market structures.The objective of this study is to provide insights for the healthydevelopment of boththe ETFmarket and the broader stock market.

Keywords：ETF Ownership;Industry ETF;Stock Volatility，Market Capitalization

一、文献综述与研究假设

1.文献综述

Ramaswamy从机制与市场逻辑出发探讨了复杂结构ETF的发展对金融市场的风险冲击，以及机构参与者尤其是做市商在其中起到的作用。（剩余6798字）