Marszk Adam, Lechman Ewa
Faculty of Management and Economics, Gdansk University of Technology, Narutowicza 11/12, 80-233 Gdansk, Poland.
Entropy (Basel). 2020 Jun 19;22(6):686. doi: 10.3390/e22060686.
Exchange-traded funds (ETFs) are one of the most rapidly expanding categories of financial products in Europe. One of the key yet still unanswered questions is whether European ETF markets have reached the size at which they could affect the financial systems. In our study, we examine 13 European countries during the period 2004-2017 in order to trace whether the share of ETFs in the total assets of investment funds has reached the 'critical' level that makes possible their further growth and can be associated with an influence on the financial system. We use a novel methodological approach that identifies the 'critical mass' along diffusion trajectories. Our results show that, in 10 countries, the share of ETFs in assets of investment funds increased. Still, in most countries, the share of ETFs did not exceed 1%. Estimates of the diffusion models indicate that the process of growing shares of ETFs was most dynamic and relatively most stable in Switzerland and United Kingdom. Results of the critical mass analysis imply that its achievement may be forecasted exclusively in these two cases. However, even in such cases there is no substantial evidence for a possible significant influence of ETFs on the local financial systems.
交易所交易基金（ETF）是欧洲发展最为迅速的金融产品类别之一。一个关键但仍未得到解答的问题是，欧洲ETF市场是否已达到可能影响金融体系的规模。在我们的研究中，我们考察了2004年至2017年期间的13个欧洲国家，以追踪ETF在投资基金总资产中的占比是否已达到使其能够进一步增长并可能与对金融体系的影响相关联的“临界”水平。我们采用了一种新颖的方法论来识别沿扩散轨迹的“临界规模”。我们的结果表明，在10个国家中，ETF在投资基金资产中的占比有所增加。不过，在大多数国家，ETF的占比并未超过1%。扩散模型的估计表明，ETF份额增长的过程在瑞士和英国最为活跃且相对最为稳定。临界规模分析的结果表明，仅在这两个案例中可以预测达到临界规模。然而，即便在这些案例中，也没有实质性证据表明ETF可能对当地金融体系产生重大影响。
