상장지수펀드(ETF) 보유지분이 기초자산 주식의 가격 모멘텀에 미치는 영향: 한국 시장을 중심으로

This study confirms that changes in ETF ownership (ΔETF) serve as a major driver of stock price momentum. ΔETF was found to intensify price distortions particularly in low-liquidity assets and during periods of high investor sentiment, suggesting that ΔETF-induced fund flows can cause price deviations from intrinsic values. In the liquidity channel analysis, ΔETF showed significant effects in low-liquidity assets, while in the investor sentiment channel, ΔETF contributed to the overvaluation of assets and deepened price momentum during periods of high investor sentiment. Portfolio analysis revealed differences in future returns based on the size of ΔETF. Large ΔETF assets tended to experience a rapid correction of price momentum, whereas small ΔETF assets exhibited prolonged price momentum due to delays in information incorporation. Notably, in small ΔETF assets, this prolonged price distortion limited opportunities for investors to achieve excess returns. This study highlights the multifaceted impact of ΔETF on market efficiency and price formation, providing key implications for investment strategies and financial policy-making in the context of the expanding ETF market.