The Relationship Between Exchange Traded Fund (ETF) and Market Fragility: Evidence from Iran`s Stock Market
نویسندگان
1 Department of Financial Engineering, Yazd Branch, Islamic Azad University. Yazd, Iran
2 Department of Financial Engineering, Yazd Branch, Islamic Azad University. Yazd, Iran
3 Department of Financial Engineering, Yazd Branch, Islamic Azad University. Yazd, Iran
4 Department of Financial Engineering, Yazd Branch, Islamic Azad University. Yazd, Iran
doi
10.22099/ijes.2023.46785.1894چکیده
The purpose of this study is to investigate the effectiveness of ETF funds on Iran's stock market. The index investigated in this research is the degree of fragility of the stock market in Iran. For this purpose, a model has been used at first, which shows how much the entry of an ETF market fund can affect the stability and fragility of the stock market. Then, in order to analyze the issue, a series of ETF funds in Iran has been selected. We used price data of 21 different stocks included in ETF funds and the price of related ETF from 30-Jan 2022 till 28-Dec 2022. Using OLS regression analysis, the results and analysis give a pattern that with the entry of ETF funds, the nonsystematic value has increased values. Therefore, we conclude that the entry of ETF funds into the market increases the fragility in the Iranian stock market.
