日韩媒体称韩国单股杠杆ETF再平衡放大三星电子和SK海力士波动

Rebalancing trades by Korea's single-stock leveraged exchange-traded funds (ETFs) are abnormally amplifying price volatility in the underlying shares of Samsung Electronics and SK hynix, and this fallout could spread to Nasdaq-listed American depositary receipts (ADRs), according to a foreign media analysis.
Rapid Expansion of Leveraged ETFs
According to the Nihon Keizai Shimbun (Nikkei) on the 12th, the single-stock leveraged ETF market has been growing rapidly in recent times. As of the end of June, assets under management exceeded $50 billion (about 68 trillion won), a 2.3-fold increase in just one year.
This year, products using memory semiconductor stocks as underlying assets have been launched one after another. Single-stock leveraged ETFs for Samsung Electronics and SK hynix were also listed this year. The problem is that the market capitalization of Samsung Electronics and SK hynix accounts for about half of the entire KOSPI. Given the two stocks' weighting in the KOSPI, the analysis holds that the impact of leveraged ETF trading on the overall index is inevitably large.
What Nikkei paid particular attention to was the SK hynix single-stock leveraged ETF that appeared in May. According to figures compiled by financial information provider QUICK, SK hynix's annualized price volatility based on the recent 20 days exceeds 110%.
Over the same period, the volatility of the S&P 500, a leading U.S. index, stood at around 15%. Nikkei pointed to the SK hynix single-stock leveraged ETF launched domestically in May as the background for such high volatility.
Rebalancing That Amplifies Volatility
Leveraged ETFs are designed to produce a return twice as high as the underlying shares when the stock price rises. The trading done to maintain this multiple is called rebalancing, and the explanation is that repeating rebalancing daily—buying more when the price rises and selling more when it falls—inflates volatility. In particular, the concentration of rebalancing trades just before the market close was cited as a factor that widens the range of sharp swings.
The next problem is that this volatility may not stay confined to the domestic stock market. Regarding SK hynix's listing on the Nasdaq in the form of ADRs, Nikkei pointed out that "what is worrying is the range of Hynix's price swings," adding that "after the (Nasdaq) listing, it could shake the U.S. stock market more directly." Attention is focused on whether the volatility of the Korean stock market will spread even to U.S. ADR stocks.
Nikkei added that Japan itself has no leveraged ETF products that track single stocks. It also carried a remark by the head of Korea's financial supervisory authority, who reportedly said, "Should we have blocked the approval of single-stock leveraged ETFs?"
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