I am a Ph.D. candidate in Finance from the University of Mannheim. My research focuses on index investing, market microstructure, mutual funds and cryptocurrencies.

I am on the finance job market in the fall of 2024.

Contact

Email: chelin@mail.uni-mannheim.de

Office 402, L9 1-2, 68161 Mannheim, Germany

CV

Research Interest

Index Investing,

Market microstructure

Mutual Funds, Cryptocurrencies

How Do ETFs Affect Stock Volatility? [Job Market Paper] [SSRN]

Presented at: 8th Paris HEC Finance Workshop, FMA annual meeting 2024, AFA annual meeting 2025 poster session (scheduled)

Abstract: I reconcile evidence in the debate on whether ETFs amplify the non-fundamental volatility of assets in ETF portfolios, by positing that heterogeneous ETFs collectively affect underlying assets through an arbitrage mechanism and a market making mechanism. Using U.S. equity ETF data, I differentiate between these two mechanisms by analyzing ETF ownership and secondary market trading. My findings reveal that seemingly contradictory evidence supporting both mechanisms co-existing, with the net effect of a new ETF modestly increasing underlying stock daily volatility by up to 2 basis points.

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