The rise of passive investing: A systematic literature review applying PRISMA framework

Malho a, P iya
A icle
The ise o passi e in es ing: Asys ema ic li e a u e e iew
applying PRISMA amewo k
Jou nal o Capi al Ma ke s S udies (JCMS)
P o ided in Coope a ion wi h:
Tu kish Capi al Ma ke s Associa ion
Sugges ed Ci a ion: Malho a, P iya (2024) : The ise o passi e in es ing: Asys ema ic li e a u e
e iew applying PRISMA amewo k, Jou nal o Capi al Ma ke s S udies (JCMS), ISSN 2514-4774,
Eme ald, Bingley, Vol. 8, Iss. 1, pp. 95-125,
h ps://doi.o g/10.1108/JCMS-12-2023-0046
This Ve sion is a ailable a :
h ps://hdl.handle.ne /10419/313317
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The ise o passi e in es ing:
a sys ema ic li e a u e e iew
applying PRISMA amewo k
P iya Malho a
USME Eas Campus, Delhi Technological Uni e si y, Delhi, India
Abs ac
Pu pose –Passi e in es ing has es ablished i sel as he dominan o ce in he wo ld o p o essionally
managed asse s, su passing he concep o index unds. I s me eo ic ise is ueled by in es o s’p e e ence o
i s dual bene i s o s ong di e si ica ion and low cos . A comp ehensi e s udy o he economic model,
add essed a eas and ma ke s uc u e has no ye been conduc ed, despi e he exis ence o nume ous s udies on
mo e speci ic opics. To add ess his gap, his pape examines 943 a icles on passi e in es ing published
be ween 1998 and 2022 in SCOPUS and Web o Science.
Design/me hodology/app oach –The s udy u ilizes he mos pe inen ools o conduc ing a sys ema ic
e iew by he PRISMA amewo k. This a icle is he esul o SLR and ex ensi e bibliome ic analysis.
Con ex ualized sys ema ic li e a u e e iew is used o sc een and selec bibliog aphic da a, which is hen
subjec ed o a a ie y o bibliome ic analyses. The s udy p o ides a bibliome ic o e iew o wo ks on passi e
in es men esea ch ha a e indexed in Scopus and Web o Science. Bibliome ix, VoS Viewe and Ci e Space
a e he ools used o conduc con en and ne wo k analysis, o asce ain he p esen s a e o esea ch, as well as
i s ocus and di ec ion.
Findings –Ou exhaus i e analysis yields impo an indings. One, he p e ious decade has wi nessed a
subs an ial inc ease in he numbe o publica ions and ci a ions; in pa icula , he in e -disciplina y and
in e na ional scope o ela ed esea ch has expanded; Second, he op h ee clus e s on “ac i e e sus passi e
unds,”“p ice disco e y and ma ke s uc u es”and “exchange- aded unds (ETFs) as an al e na i e”accoun
o mo e han i y pe cen o he domain’s knowledge; Thi d, “Le e aged ETFs (LETFs)”and “en i onmen al,
social and go e nance (ESG)”a e he wo eme ging hemes in he passi e in es ing esea ch. Fou h, despi e i s
many bene i s, passi e in es ing is no sui able o e e yone. To ge he mos ou o wha passi e in es ing has
o o e , in es o s, in e media ies and egula o s mus all exe cise su icien cau ion. Ou s udy makes a
subs an ial con ibu ion o he ield by conduc ing a comp ehensi e bibliome ic analysis o he exis ing
li e a u e, highligh ing key indings and implica ions, as well as u u e esea ch di ec ions.
Resea ch limi a ions/implica ions –While he s udy con ibu es signi ican ly o he ield o knowledge, i
has se e al limi a ions ha mus be conside ed when in e p e ing i s indings and implica ions. Wi h ou
emphasis on academic jou nals, he s udy analyzed only pee - e iewed jou nal a icles, excluding con e ence
pape s, epo s and echnical a icles. While we a e con iden ha ou app oach esul ed in a comp ehensi e
and ep esen a i e da abase, ou eliance on Else ie Scopus and Web o Science may ha e esul ed in us
o e looking ele an wo k accessible only h ough o he da abases. Addi ionally, speci ic bibliome ic
p ope ies may no be ime-s able, and ce ain common dis ibu ion pa e ns o he passi e in es ing li e a u e
may s ill be de eloping.
P ac ical implica ions –Wi h his s udy, i has been possible o obse e and cha he high g ow h
ajec o y o passi e in es ing esea ch globally, especially pos -US subp ime c isis. Despi e he widesp ead
Jou nal o Capi al
Ma ke s S udies
95
JEL Classi ica ion —C23, G12, G23
© P iya Malho a. Published in Jou nal o Capi al Ma ke s S udies. Published by Eme ald Publishing
Limi ed. This a icle is published unde he C ea i e Commons A ibu ion (CC BY 4.0) license. Anyone
may ep oduce, dis ibu e, ansla e and c ea e de i a i e wo ks o his a icle ( o bo h comme cial and
non-comme cial pu poses), subjec o ull a ibu ion o he o iginal publica ion and au ho s. The ull
e ms o his license may be seen a h p://c ea i ecommons.o g/licences/by/4.0/legalcode
Decla a ion o con lic ing in e es s: The au ho s decla ed no exis ing o po en ial con lic o in e es s
wi h espec o he esea ch, au ho ship and/ o publica ion o his pape .
Resea ch in ol ing human pa icipan s and/o animals: The au ho (s) decla ed ha he s udy was
conduc ed wi hou he in ol emen o human pa icipan s and/o Animals.
In o med consen : The au ho (s) decla e ha he s udy was conduc ed on well-published seconda y
da a and does no in ol e any in o med consen keeping wi h esea ch e hics.
The cu en issue and ull ex a chi e o his jou nal is a ailable on Eme ald Insigh a :
h ps://www.eme ald.com/insigh /2514-4774.h m
Recei ed 3 Decembe 2023
Re ised 14 Ma ch 2024
23 Ma ch 2024
Accep ed 8 Ap il 2024
Jou nal o Capi al Ma ke s S udies
Vol. 8 No. 1, 2024
pp. 95-125
Eme ald Publishing Limi ed
2514-4774
DOI 10.1108/JCMS-12-2023-0046
adop ion o passi e in es ing as an in es men s a egy, i is no a one-size- i s-all p oposi ion. Ma ke
condi ions change cons an ly, and i equen ly equi es an in o med eye o de e mine when and how much o
shi away om ac i e in es men s and owa d passi e ones. Cu ency ETFs enable in es o s o implemen a
ca y ade s a egy in hei po olios; howe e , as a wo d o cau ion, cu ency s abili y and liquidi y can play a
signi ican ole in in e na ional ETFs. Simila ly, LETFs may be be e sui ed o dynamic s a egies and o e
less alue o a long- e m in es o . Las ly, he impo ance o in es o educa ion canno be unde es ima ed in he
name o he highly di e si ied po olio when using passi e al e na i es, o which necessa y e o s a e
equi ed by egula o s and in es o s alike.
Social implica ions –The inexo able end o passi e in es ing c ea es nume ous issues o und
managemen , including ee and e enue p essu e, which o ces adi ional manage s o seek new e enue
s eams,suchas illiquid and p i a e asse s, which also implies inc eased po olio isk. Addi ionally, he inc eased
anspa ency and e iciency associa ed wi h he ETF ma ke indica es ha manage s mus e hink he en i e
alue chain, beginning wi h echnology and he way in es men s in e ac . Passi e in es men s ha e igge ed
changes in ma ke s uc u e ha a e s ill no ully unde s ood o ac o ed in. Ac i e managemen and a ange o
alua ion opinions on whe he a p ice is “ oo low”o “ oo high”p o ide much-needed dep h o a ma ke as i
a emp s o s ike a delica e balance be ween demand and supply o ces, ensu ing liquidi y a all p ice poin s.
O iginali y/ alue –I he eby ce i y ha I am he sole au ho o his pape and ha no pa o his manusc ip
has been published o submi ed o publica ion.
Keywo ds Passi e in es ing, ETF, Index unds, Benchma king, Bibliome ic, Sys ema ic
Pape ype Li e a u e e iew
1. In oduc ion
Globally, and pa icula ly in de eloped coun ies like he Uni ed S a es, he e has been a
subs an ial shi in in es o p e e ence owa d passi e in es ing. Passi e asse managemen ,
commonly known as passi e in es ing, is an in es men app oach ha moni o s a ma ke -
weigh ed index (Sha pe, 1991). I can be accomplished by holding any o a combina ion o
index unds, exchange- aded unds (ETFs), Index u u e con ac s, Index u u es op ions o
S ock Ma ke Index Swaps (Hasb ouck, 2003;S oll and Whaley, 1990;Cons an inides e al.,
2011) Passi e in es ing, which is mos widesp ead in equi ies, is g adually becoming mo e
popula in o he in es men ca ego ies such as bonds, commodi ies and hedge unds (Jaege
and Wagne , 2005). When compa ed o ac i ely managed unds, i p o ides good
di e si ica ion, minimal ansac ion cos s and lowe u no e (Baks e al., 2001;P
ezie and
Whi e, 2008).
Passi e in es ing is ounded on he e icien ma ke hypo hesis (EMH), which was
de eloped in he 1960s and con ends ha sha es always ade a hei ai ma ke alue and
ha pe sis en alpha gene a ion is impossible. This heo y ejec ed he e icacy o s ock
selec ion and ma ke iming and ep esen ed he ea lies school o hough on passi e
in es ing. Index unds we e in oduced in he 1970s and ha e been es ic ed o la ge pension
and social secu i y ins i u ions since hen (So ensen e al., 1998;Cla k and Hebb, 2004;El on
e al., 2007;Ay es and Cu is, 2014). G ube (1996) b ough a en ion o he pa adox ha
in es o s pu chase ac i ely managed unds e en hough hey unde pe o m index unds on
a e age. Wi h g owing in es o dissa is ac ion wi h ac i e und unde pe o mance
(So ensen e al., 1998;Malkiel, 2005;So ensen e al., 1998) and a desi e o educe cos s
ac oss social bene i schemes, he ela i e appeal o passi e in es men s has inc eased by
mul iple deg ees in he a e ma h o he 2008–2012 subp ime c isis (El on e al., 2002). This
has piqued he in e es o indus y, academia, and esea che s alike, esul ing in a slew o
s udies examining hei pe o mance (A ellaneda and Lee, 2010). The li e a u e on passi e
in es ing, hence, has exploded in ecen yea s.
The es ing o he EMH, he compa a i e pe o mance assessmen o passi e po olios o
cu a ed olios, and in es o biases in passi e in es ing ha e all been opics o discussion in he
pas (F ino and Gallaghe , 2001;El on e al.,2004;Choi e al., 2010;Gue cio and Reu e , 2014;
C eme s e al., 2016;Fahling e al., 2019). Mul iple s udies add essing a ious cha ac e is ics o
index unds, such as ee expense (Ho acsu and Sy e son, 2004;El on e al., 2012), e u n
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ola ili y (Goe zmann and Massa, 2003), acking e o (TE) (Meade and Salkin, 1990;Chen e al.,
2006), liquidi y, in es o pu chase and edemp ion pa e ns (O’Neal, 2004), p ice disco e y
(Chen and Gau, 2009), hidden cos s (Pe ajis o, 2011) and po olio alloca ion (Fan e al.,2016)
ha e been conduc ed since he incep ion o index unds. Recen esea ch on index unds has
p og essed o spa se po olios (Takeda e al.,2013), goal p og amming (Wu e al.,2007),
algo i hm-assis ed alloca ions(Schoen eld, 2017) and inancial inno a ions (C eme s e al.,2016).
Lo (2007) in eg a ed he EMH wi h beha io al inance o c ea e he adap i e ma ke
hypo hesis (AMH), which s a es ha a ional in es o s can swi ly become i a ional in
eac ion o inc eased ma ke ola ili y. In he a e ma h o he US Subp ime c isis, index
unds we e hea ily c i icized o causing he 2007–2008 spike in commodi y u u es p ices,
consequen ly, nume ous s udies examined he e ec o index unds on he p ices o
unde lying asse s (Malkiel and Radisich, 2001;MichałFalkowski, 2011;I win and Sande s
2011;I ano , 2013;Hamil on and Wu, 2015).
ETFs, which manage illions o dolla s (USD) in capi al lows in de eloped economies,
a e he mos ecen and signi ican de elopmen in mode n capi al ma ke s a e index unds.
Since hei in oduc ion, a ious ba ome e s o ETF pe o mance ha e been explo ed in
dep h, including TE (Johnson, 2009;Shin and Soydemi , 2010;Chu, 2011), p icing e iciency
(Is aeli e al., 2017) and und lows (Cli o d e al., 2014). As ETFs gained p ominence, hei ole
in p ice disco e y and in o ma ion ansmission (Tse and Ma inez, 2007;Le y and
Liebe man, 2013;Haslam e al., 2018), ola ili y in p ices o unde lying (Gleason e al., 2004),
ma ke liquidi y (Boehme and Boehme , 2003;Ben-Da id e al.,2017
), ma ke
mic os uc u es (Gao e al., 2018), ma ke co-in eg a ion and e o co ec ion (Chou and
Chung, 2006;Delcou e and Zhong, 2007;B oman, 2016), ola ili y spillo e (K ause and Tse,
2013;Inci, 2018) has been in es iga ed in de ail. Wi h g owing en i onmen al consciousness,
ETF esea ch has shi ed o e alua ing he e icacy o in es men s in al e na i e ene gy
(Mi alles-Qui 
os and Mi alles-Qui 
os, 2019). Fu he mo e, in e se compa ison be ween index
unds and ETFs on a a ie y o c i e ia, including subs i u abili y, cos s uc u e, in es o
ypes and isk-adjus ed e u ns ha e been conduc ed (Beneish and Ga dne , 1995;
Kos o e sky, 2003;Ha pe e al., 2006). Le e aged ETFs (LETFs) a e one o he mos
ecen inancial de elopmen s in he ETF ealm, and a ious s udies ha e been conduc ed o
explain his concep (A ellaneda and Zhang, 2010;Cha upa and Miu, 2011).
No wi hs anding economic challenges, unp edic abili y and an ini ial uphea al
p ecipi a ed by he co ona i us disease 2019 (COVID-19) pandemic, he asse managemen
sec o ebounded in 2022 and p oduced a o able e u ns. The asse s unde managemen
(AUM) o passi e unds a e p ojec ed o each USD 34 illion by 2025, acco ding o he Global
Asse Managemen Repo , (2021) by Bos on Consul ing G oup. Sys ema ic e iews se e he
pu pose o iden i ying pa icula domains ha necessi a e u he esea ch. Addi ionally,
hey enable p o essionals o ob ain a comp ehensi e unde s anding (Randhawa e al., 2016).
P e ious s udies ha e conduc ed li e a u e e iews on dis inc aspec s o passi e in es ing
s a egies, such as ixed-income and index in es ing (Tang and Xu, 2017), he e ec s, ading,
and ins i u ions o ETFs (Madha an, 2012;Joshi and Dash, 2024), and an o e iew o Indian
index unds (Sa ka e al., 2013). Despi e he expanding co pus o schola ly wo k conce ning
speci ic ace s, a comp ehensi e o e iew o he o e a ching passi e in es ing s a egy
emains ex emely sca ce. Ou esea ch is mos closely aligned wi h he indings o he Fisch
e al. (2019) s udy. In ligh o he ma ke mechanism, he s udy o e s a comp ehensi e
analysis o he heo e ical amewo k om ins i u ional, policy and egula o y s andpoin s o
enligh en passi e in es o s. Howe e , a e iew o he exis ing li e a u e in his ield is no
included in he s udy. Gi en hese o e a ching conce ns, he expansion and de elopmen o
he co pus o esea ch in nume ous disciplines emphasizes he need o a quan i a i e
in es iga ion o es ablish a comp ehensi e amewo k, iden i y no ewo hy ends and
de e mine di ec ions o u u e esea ch. Ou s udy in es iga es he subsequen esea ch
Jou nal o Capi al
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97
inqui ies by employing a sys ema ic li e a u e e iew (SLR) and a igo ous bibliome ic
analysis.
RQ1. Wha cha ac e izes he cu en esea ch end in passi e in es ing?
RQ2. Which sou ces, a icles and au ho s a e he mos in luen ial in his esea ch
domain?
RQ3. Wha a e he domina ing hemes in his ield o s udy?
RQ4. Wha has been he e olu ion o he concep ual and in ellec ual s uc u e (IS)
o e ime?
RQ5. Wha is he u u e esea ch scope?
2. Da a and esea ch me hodology
This a icle is he esul o SLR and ex ensi e bibliome ic analysis. Con ex ualized SLR
(T an ield e al., 2003) is used o sc een and selec bibliog aphic da a, which is hen subjec ed
o a a ie y o bibliome ic analyses (Zupic and

Ca e , 2015). Bibliome ic analysis as a
echnique en ails he applica ion o s a is ical ools o he examina ion o he bibliog aphic
a ibu es o a body o li e a u e. We ollow Pa naik e al. (2020) as a me hodical app oach o
da a selec ion and esea ch design as depic ed in Figu e 1.
Sou ce(s): Au ho s’ own wo k
RQ1
RQ2
RQ3
RQ4
RQ5
Scien i ic
P oduc ion –
Annual,
A e age &
Coun y-wise
Mos ci ed –
Sou ces,
Au ho s,
Coun ies
Au ho s’ Impac
Wo d T ee
Map, T end
Topics &
Bu s iness
Ne wo k
Analysis
Scope o
u he
esea ch
Da a Sou ce: SCOPUS and Web o Science
(WoS)
Acquisi ion o Da a and Sc eening
Topic: “Passi e In es ing”
Timespan: 1998 o No
2021
Da abase: Scopus and Web
o Science (WoS)
Bibliome ic Analysis and Sys ema ic
Re iew
Bibliome ix VoS Viewe Ci eSpace
Tools
Analysis
CA/AF TA & IA B-C Co-Oc/ Co-Ci BA
Resea ch
Ques ions
Resul s
No e(s): Abb e ia ions u ilized: CA/AF – Ci a ion Analysis/ Analysis o F equency;
IA – Impac Fac o Analysis; B-C – Bibliog aphic Coupling; Co-Oc – Co-Occu ence o
keywo ds/ i les/abs ac s; Co-Ci- Co-ci a ion analysis o Re e ences/Sou ces/Au ho s;
BA- Bu s iness Analysis o Ci a ion/ Re e ences/ Sou ces
Figu e 1.
Da a selec ion and
esea ch design
JCMS
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2.1 Sea ch c i e ia and da a e ie al
The collec ed da a adhe ed o a sys ema ic esea ch me hodology ha ou lined he essen ial
s ages equi ed o pe o m a li e a u e e iew ollowing he PRISMA amewo k. Fo he
p esen a ion o e idence in sys ema ic e iews and me a-analyses, PRISMA is he
acknowledged s anda d. Jou nals ha unde wen pee e iew we e he only sou ces
conside ed o his s udy. The e alua ion p ocess excluded epo s, con e ence p oceedings,
publica ions and heses. Analyses o 943 a icles indexed by Scopus and WoS we e
conduc ed o add ess he a o emen ioned esea ch ques ions. In selec ing hese documen s,
i e c i e ia we e conside ed: (1) Re e eed academic jou nals ( o ensu e he highes quali y o
e e eeing), (2) A icles published be ween 1998 and 2021, (3) Indexed by Scopus and WoS, (4)
Fil e ed using keywo ds and Boolean ope a o s: “passi e in es ing o passi e in es *,”o
“index und*,”o “exchange- aded und”o “ETF*”o “indexing,”; (5) The s udy includes all
eligible non-duplica e publica ions in he English language ha me he il a ion c i e ia. The
p ocess o e ie ing me a-da a is summa ized in Table 1.
2.2 Resea ch me hodology
Bibliome ic app oaches o analyses a e now i mly es ablished as an essen ial componen o
esea ch e alua ion me hodology, pa icula ly in scien i ic and applied disciplines
(Ellegaa d and Wallin, 2015). I helps o elimina e subjec i e bias in quali a i e li e a u e
syn hesis (Ne u e al.,2008) and has been widely used in he pas o analyze massi e
amoun s o bibliog aphic con en on opics (Blanco-Mesa e al.,2017), uni e si ies (Me ig
o
e al., 2019), coun ies (Mas-Tu e al.,2019) and jou nals (Don hu e al.,2020). Ci a ion and
co-ci a ion analysis a e wo o he mos commonly used bibliog aphic app oaches o
unco e ing di e ences in he in ellec ual landscapes o ci ed sou ces (Kessle , 1963;
Small, 1973).
Bibliome ix, VoS Viewe and Ci e Space a e he ools used o conduc con en and
ne wo k analysis and o asce ain he p esen s a e o esea ch in his sec o , as well as i s
ocus and di ec ion. The desc ip i e analysis summa izes he end in publica ions and
ci a ions (Tsay, 2009). The mos in luen ial sou ces, a icles and au ho s a e selec ed based
on h-index,g-index and m-index (Hi sch, 2005;Ding and C onin, 2011). Keywo d analysis is
used o elucida e he s udy domain’s knowledge amewo k, eme ging pa e ns and e ol ing
hemes (Hu e al., 2018). The concep ual s uc u e is deduced using wo d- ee analysis
(WTM) (Callon e al.,1983
). Ne wo k analysis is pe o med using he bibliog aphic coupling
(B-C) p inciple and ne wo k cen ali y s eng h o unco e in e connec ed communi ies
(Bas ian e al., 2009).
S eps Fil a ion c i e ia Excluded Accep ed
Iden i ica ion Reco d iden i ied h ough da abase sc eening (Boolean Ope a o ) 1,320
Sc eening Fil a ion on he basis o he subjec (Business, Economics,
Econome ics, Finance, Managemen , Accoun ing and Social
Science)
308 1,012
Duplica es emo ed 5 1,007
Eligibili y Documen Type (A icle and Re iew) 14 993
Publica ion S age (Final) 10 983
Language c i e ia (English) 20 963
Included Based on he con en 20 943
No e(s): No es ic ions on he anking o Jou nals we e made o me a-da a selec ion
Sou ce(s): Au ho s’own wo k
Table 1.
PRISMA low diag am
Jou nal o Capi al
Ma ke s S udies
99
3. Desc ip i e s a is ics
3.1 T end in esea ch and scien i ic p oduc i i y
Add essing RQ1 on he esea ch end in passi e in es men , Figu e 2 shows ha he numbe
o annual publica ions has been inc easing since 2007. To be speci ic, o e 90% o he
li e a u e included in his s udy was published a e 2008, implying ha he majo i y o
in ellec ual deba es in he a ea o passi e in es men occu ed in he a e ma h o he 2008–
2012 global economic c isis.
3.2 Mos in luen ial au ho s, documen s and sou ces
This sec ion add esses he RQ2 conce ning he p ominen au ho s, a icles, and sou ces in he
ield o Passi e In es ing. Table 2 summa izes he mos in luen ial au ho s on passi e
in es ing, a anged by he numbe o publica ions; addi ional me ics a e included in he
able. Tse Y is anked i s wi h 14 a icles be ween 1998 and 2001, an h-index o 9, and 241
ci a ions. G ube MJ is he mos p ominen au ho on passi e in es ing, wi h a TC coun o
1,520, ollowed by I win SH (TC: 776) and El on EJ (TC: 667). The h-index me ic measu es
bo h ci a ion and p oduc i i y impac a he au ho le el; I win SH, wi h an h-index o 10, g
(12) and m (0.833), is he mos in luen ial au ho in he ield o passi e in es men , ollowed by
Tse Y (9, 14 and 0.474).
Au ho Hg m TC NP
Tse, Y. 9 14 0.474 241 14
I win, S. H. 10 12 0.833 776 12
G ube , M. J. 8 11 0.242 1,520 11
El on, E. J. 7 10 0.212 667 10
Sande s, D. R. 8 9 0.667 643 9
F ino, A. 6 8 0.286 178 8
Rompo is, G. G. 5 8 0.357 72 8
I ano , S. I. 4 7 0.364 80 7
Lee, C. C. 3 6 0.429 38 7
Xu, L. 3 5 0.6 32 7
No e(s): The able abo e enlis s he op 10 au ho s con ibu ing o he ex an li e a u e based on h ee dis inc
impac ac o s: h-index, g-index and m-index (h,gand m espec i ely). I also p esen s he o al ci a ion coun
(TC) acc edi ed o he au ho along wi h he numbe o pape s (NP) by he au ho
Sou ce(s): Au ho s’own wo k
0
20
40
60
80
100
120
140
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017
2018
2019
2020
2021
To al publica ion yea wise
Sou ce(s): Au ho s’ own wo k
Table 2.
Mos in luen ial
au ho s on passi e
in es ing based on
h ee impac ac o s
Figu e 2.
Annual scien i ic
p oduc ion
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As assessed by NP, Table 3 summa izes he op jou nals in he ield o passi e in es men .
The Jou nal o Po olio Managemen ops he lis wi h 35 con ibu ions o he cu en body o
knowledge, ollowed by Manage ial Finance (NP: 28) and he Jou nal o Banking and Finance
(NP: 25). I ’s wo h no ing ha he op en jou nals accoun o mo e han a qua e (26%) o
he pape s examined in his s udy, while he op wen y jou nals accoun o almos 40% o
he o al a icles examined. While he Jou nal o Banking and Finance is he mos widely ci ed
sou ce in he domain o passi e in es men , acco ding o he hand gindexes (14 and 23
espec i ely), he Jou nal o Finance (no included in he able below) anks i s wi h 1,684
ci a ions using TC as a measu e o in luence. Publica ions in epu able jou nals demons a e
he s udy domain’s g ow h, inspi ing addi ional esea ch endea o s (Acedo e al., 2006). The
a o emen ioned conside a ions, hence, jus i y he ema kable inc ease in esea ch in his a ea.
Based on he ci a ion sco e, Table 4 p esen s he mos in luen ial pape s and e e ences on
passi e in es ing. Local ci a ions (LCs) a e based on a da ase included in he s udy, whe eas
global ci a ions (GCs) a e based on a la ge da ase a ailable on Google Schola and Web o
Science. The op mos in luen ial a icle (GC:853) is G ube J.’s“Ano he Puzzle: The G ow h in
Ac i ely Managed Mu ual Funds”(1996), ollowed by Shlei e A.’s“Do Demand Cu es o
S ocks Slope Down?”(1986) (GC: 589). Using LC as a me ic o in luence, El on J., “Spide s:
Whe e A e he Bugs?”(2002) anks i s (LC:71), ollowed by G ube J., “Managed Mu ual
Funds”and Ben-Da id e al. (2018) “Exchange-T aded Funds”(LC: 49).
3.3 Mos domina ing hemes in esea ch on passi e in es ing
In esponse o RQ3,Figu e 3 o e s an o e iew o he hema ic e olu ion seen in he li e a u e
on passi e in es ing. The equency wi h which keywo ds appea in he li e a u e om 1998
o he cu en day is used o ex ac he mos p ominen hemes. Time slices we e c ea ed
using signi ican economic e en s ha a ec ed he de elopmen o inancial ma ke s in
Sou ce Hg m TC NP
Jou nal o Po olio Managemen 12 21 0.500 498 35
Manage ial Finance 7 9 0.269 125 28
Jou nal o Banking and Finance 14 23 0.467 555 25
Jou nal o Asse Managemen 6 11 0.462 137 19
Jou nal o Index In es ing 1 1 0.250 5 4
In e na ional Re iew o Financial Analysis 7 11 0.500 129 15
In es men Managemen and Financial Inno a ions 4 7 0.250 58 11
Jou nal o Fu u es Ma ke s 7 13 0.368 184 15
Financial Analys s Jou nal 9 16 0.346 311 16
Jou nal o Al e na i e In es men s 3 6 0.231 120 6
Applied Economics 5 9 0.263 94 9
Applied Economics Le e s 5 7 0.417 63 11
Financial Re iew 8 11 0.444 210 11
Jou nal o Empi ical Finance 7 10 0.389 366 10
Quan i a i e Finance 4 10 0.333 156 10
No h Ame ican Jou nal o Economics and Finance 5 8 0.625 69 11
Re iew o Financial S udies 7 11 0.412 376 11
Jou nal o Financial Ma ke s 8 11 0.471 261 11
Jou nal o Weal h Managemen 3 4 0.273 22 7
Applied Financial Economics 6 10 0.300 129 10
No e(s): The able abo e enlis s he op 20 sou ces anked in he o de o numbe o pape s (NP) on passi e
in es ing along wi h o al ci a ions (TC). The sou ce’s impac ac o measu ed as h-,g- and m-index a e also
men ioned in he able
Sou ce(s): Au ho s’own wo k
Table 3.
Mos in luen ial
sou ces
Jou nal o Capi al
Ma ke s S udies
101
gene al and passi e in es men s in pa icula . The i s ime slice, om 1998 o 2000,
illus a es he closed cha ac e o inancial in es men s be o e he US IT boom. Wi h he u n
o he wen y- i s cen u y and he in eg a ion o inancial ma ke s, exchange- aded unds
and enhanced index unds, which seek o boos he e u ns p oduced by s ic index unds,
we e added o he b oade baske o passi e in es men s, which index unds p e iously
domina ed. The apid pos -global inancial c isis (GFC) economic eco e y o he Malaysian
economy [1], bols e ed by obus go e nmen spending and he s eng hening o o eign
ade, a ac ed he esea ch communi y’s a en ion, as e idenced by i s inclusion in he
p ominen hemes in he pe iod spanning 2001–2008. Passi e in es men s expe ienced
Au ho Ti le Yea LC GC
LC/GC a io
(%)
El on e al. (2002) “Spide s: Whe e a e he bugs?”2002 71 105 67.62
G ube (1996) Ano he Puzzle: The G ow h in Ac i ely Managed
Mu ual Funds
1996 49 853 5.74
Ben-Da id e al
(2017)
Exchange-T aded Funds 2017 49 41 119.51
Ben-Da id e al.
(2018)
Do ETFs Inc ease Vola ili y 2018 43 82 52.44
Hasb ouck (2003) In aday P ice Fo ma ion in US Equi y Index
Ma ke s
2003 39 229 17.03
Shlei e (1986) Do Demand Cu es o S ocks Slope Down? 1986 37 589 6.28
Delcou e and Zhong
(2007)
On he p emiums o iSha es 2007 36 52 69.23
Tse and Ma inez
(2007)
P ice disco e y and in o ma ional e iciency o
in e na ional iSha es unds
2007 31 52 59.62
Po e ba and Sho en
(2002)
Exchange-T aded Funds: A New In es men
Op ion o Taxable In es o s
2002 30 71 42.25
No e(s): Table abo e enlis s he op 10 ci ed documen s on passi e in es ing along wi h he local ci a ions (LC)
and Global ci a ions (GC), au ho (s) and yea o publica ion o he espec i e documen s
Sou ce(s): Au ho s’own wo k
Table 4.
Mos in luen ial
a icles
Figu e 3.
Thema ic e olu ion in
passi e in es ing
esea ch
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es ic ed passi e po olios, sma be a s a egies, al e na i e ene gy and ESG in es men in
gene al gi es u he scope o esea ch.
Clus e 7: a ying composi ion o unde lying indices
A o al o 24 s udies examining changes in he composi ion o b oad ma ke indices such as he
S&P 500, he Russell 2000, he FTSE100, and he DJIA, as well as he associa ed p ice e ec s,
o m he hea o his clus e , which spans o e 2 decades (1994–2018). Index unds, ETFs and
o he passi e unds collec i ely ep esen a sizable and impo an ins i u ional in es o class
o s ocks ading on global s ock ma ke s. Any change in he composi ion o he la ge
indices acked by index unds and ETFs causes ebalancing o index und po olios and so
a ec s e u ns (Shlei e , 1986;Lynch and Mendelhall, 1997;Chen e al., 2006), p o iding i al
insigh in o ma ke e iciency (Madha an, 2003). This e ec could be ansien , consis en
wi h he p ice p essu e hypo hesis (Wool idge and Ghosh, 1986;Vesp o, 2006), o i could be
pe manen , consis en wi h Scholes’s (1972) p ice shi ollowed by conside able abno mal
ading olume, con i ming downwa d-sloping demand cu e hypo hesis (Bik imi o , 2004).
Beneish and Ga dne (1995) sugges ed ha in o ma ion symbolism, p ice p essu e, impe ec
al e na i es and in o ma ion cos could all be explana o y a iables o he s ock ma ke
consequences o DJIA e isions. On he o he hand, Malkiel and Radisich (2001) ind no
e idence ha indexing has a pe sis en e ec on he p icing o secu i ies. Acco ding o Masse
e al. (2000), he in o ma ion con en o inclusion does no ully explain he sha e p ice
esponse. Nume ous s udies examined he e ec o changes in he composi ion o ma ke
benchma ks on s ock be as (Hau, 2011), he liquidi y p o ision o index unds (G een and
Jame, 2011), he demand o componen s ocks (Kappou e al., 2010), and he home cu ency
(Hau e al., 2010). On he day o index inclusion, NYSE equi ies saw less se e e p ice e ec s
han NASDAQ s ocks, demons a ing he supe io i y o he expe sys em o e he deale
sys em in minimizing p ice e ec s (Ellio and Wa , 2003).
Clus e 8 and 9: con ibu ion o passi e in es men s o ma ke ola ili y
This clus e ocuses on he impac exe ed by passi e in es men s on ma ke ola ili y, which is
ueled by bo h misguided in es o decisions and ETF ma ke ac ion d i en by a bi age.
This clus e is comp ised o 17 a icles da ing om 2002 o 2018. He ding beha io has been
ex ensi ely s udied du ing pe iods o ma ke s ess and ola ili y, and momen um lows
du ing hese pe iods a e signi ican o secu i ies p icing (Goe zmann and Massa, 2002).
In es o beha io , on he o he hand, is no symme ical be ween bull and bea ma ke s
(Gleason e al., 2004;Gopane e al., 2023). S ocks wi h a highe p opo ion o ETF owne ship
exhibi much mo e ola ili y, which adds ano he laye o non-di e si iable isk o s ock
p ices (Ben-Da id e al., 2017). Inc eased ETF owne ship is accompanied by inc eased ading
cos s, diminished in o ma ion acquisi ion bene i s, and an inc ease in olun a y disclosu es
(Is aeli e al., 2017;Schoen eld, 2017;Lin e al., 2018). ETFs, hedge unds and o he
ins i u ional in es o s p o ide agg essi e liquidi y a compe i i e p ices (Ai ken e al., 2007).
Index unds ha e been implica ed in causing he asse p ice bubbles and ensuing inancial
c isis. Wi h he g owing popula i y o passi e in es ing, he si ua ion is likely o de e io a e
u he due o inc eased inancializa ion ia ETFs and high-speed au oma ed algo i hmic
ading, as well as accumula ing un unded obliga ions (So ne e and Cauwels, 2014).
Howe e , he magni ude o he c ash is highly dependen on he p opo ion o uneduca ed
in es o s and he amoun o unsophis ica ed passi e in es ing in he ma ke (Ba le y and
Ve onesi, 2003). The e ec o s ock inclusion in ETFs on p ice co ela ion and s ock be as
emains la gely unknown in he EME en i onmen , despi e ising c oss-sec ional
commonali y in equi ies. This also highligh s he impo ance o de eloping inno a i e isk
managemen solu ions.
Jou nal o Capi al
Ma ke s S udies
109

Nine h clus e is he smalles clus e , consis ing o h ee publica ions ha make signi ican
con ibu ions o he li e a u e on he dynamic ole o passi e in es men s in global inancial
ma ke s. Wi h he g owing popula i y, passi e in es men s accoun o a sizable po ion o
he o al AUM in he de eloped ma ke s. These unds a e eady o amass massi e posi ions
as hei combined owne ship in he mos widely ollowed b oad indices such as he S&P 500
and DJIA con inues o g ow a a b eakneck pace (Bebchuk and Hi s , 2019). Th ee mega-
unds in he Uni ed S a es con ol mo e han 40% o o ing igh s in companies lis ed on S&P
and domina e he b oade index. Thei ull po en ial is an icipa ed o mani es i sel in he
shi o sus ainabili y, wi h passi e managemen eclipsing ac i e und managemen in
socially esponsible in es ing (Chen and Schol ens, 2018;Fisch e al., 2019). The ex en o
which passi e unds con ibu e o ESG objec i es emains an unanswe ed ques ion.
4.2 Concep ual analysis
The concep ual model illus a ed in Figu e 6 summa izes a ho ough con en s udy o he
li e a u e in nine bibliog aphic clus e s. The s uc u e la gely illus a es he a ious
an eceden s o passi e in es men s and hei impac on wo majo pe o mance a ibu es,
wi h liquidi y, deg ee o inancializa ion and capi al lows se ing as media ing ac o s. Bi-
di ec ional a ows sugges po en ial endogenei y in inancial a iables, while he link deno es
he na u e o he ela ionship s udied in he a ailable li e a u e.
The in es o s’ a ionale o choosing ac i e unds despi e hei his o ical unde pe o mance
in compa ison o passi e benchma ks and index unds has been cons an ly sc u inized
(Goe zmann and Massa, 2003;Lich ens ein e al., 1999;Fo in and Michelson, 2005;Boldin and
Cici, 2010). Passi e unds a e in ended o eplica e a ma ke -linked benchma k, and de ia ions
om he benchma k de ine acking e iciency (Johnson, 2009;Chu, 2011;Rompo is, 2011).
T ansi ions in he mac oeconomy dic a e ma ke egimes. Fu he mo e, ma ke ola ili y is
subs an ially in luenced by co po a e ac ions, including in es o disclosu es and expanding
ICT pene a ion. Expansiona y de elopmen s end o gene a e mo e p onounced su ges, as
o ecas ing e o s escala e (Lunde and Zebedee, 2009;Nguyen e al.,2007;Agga wal e al., 2014).
The ma ke o passi e in es men s e lec s he cumula i e impac o hese o ces in h ee
b oad dimensions: Ma ke liquidi y, Capi al Flows and Deg ee o Financializa ion. Al hough
he e m “ inancializa ion”began o appea wi h inc easing equency in he ea ly 1990s, i s
o igins emain elusi e. Howe e , since he la e 1960s, he undamen al issue o a g a i a ional
mo emen owa d inance in capi alism as a whole has exis ed. Financializa ion essen ially
implies he inc easing ole o inancial mo i es, inancial ma ke s, inancial ac o s, and inancial
Figu e 6.
This igu e ep esen s
he concep ual
s uc u e de eloped
based on analysis o
he con en o passi e
in es ing li e a u e
JCMS
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ins i u ions in he ope a ion o domes ic and in e na ional economies. This equally holds o
passi e in es men s.
ETFs, he mos popula passi e al e na i e, allow o seconda y ma ke ading.
Au ho ized pa icipan s’in-kind edemp ion and c ea ion p ocesses esul in p ice disco e y
in ETF ma ke s, de ining he p icing e iciency (Shanmughama and Zabiulla, 2012;Pe ajis o,
2017). The ma ke ’s liquidi y (Acke and Tian, 2008), as well as o e all ola ili y, de e mine
he success o in-kind c ea ion and edemp ion p ocesses, he eby in luencing he deg ee o
inancializa ion (I win and Sande s, 2011,2012;MichałFalkowski, 2011;I ano , 2013). Wi h
he inancial ma ke s landscape e ol ing, con empo a y issues such as he impac o ICT and
social change on ETF pe o mance (Lechman and Ma szk, 2015), in e na ional di e si ica ion
(Huang and Lin, 2011) and eme ging economies pe spec i es (Bli z e al., 2012) ha e become
esea ch ocal poin s. Passi e in es men s a e gaining popula i y and a e es ablishing a
dominan posi ion as a sou ce o in es ible su plus. ETFs ha e been ins umen al in educing
ma ke ola ili y (Lin and Chiang, 2005) and inc easing liquidi y (Hegde and McDe mo ,
2004;Ben-Da id e al., 2017), and a e now he p ima y sou ce o p ice disco e y (I ano ,
2013), esul ing in long- e m con e gence o s ock be as (Sulli an and Xiong, 2012). Madu a
and Ngo (2008) concluded ha ETFs had a sizable and bene icial e ec on he alua ion o
hei cons i uen equi ies. Pe ajis o (2011) coined he e m “index u no e cos ” o examine
he e ec o ETF p ice de ia ions on in es men beha io . Cha e is e al. (2014) concluded
ha ETF discoun s/p emiums encou age eedback ading, whe eas Da and Shi e (2018)
concluded ha co ela ions be ween ETF e u ns and s ock-lagged be a p o ide e idence o
p ice e e sal. This also e lec s he endogenei y o a iables such as liquidi y, capi al lows
and inancializa ion deg ee.
5. Limi a ions
While he s udy con ibu es signi ican ly o he ield o knowledge, i has se e al limi a ions
ha mus be conside ed when in e p e ing i s indings and implica ions. Wi h ou emphasis
on academic jou nals, he s udy analyzed only pee - e iewed jou nal a icles, excluding
con e ence pape s, epo s, and echnical a icles. As a esul , con ibu ions published in o he
o ma s ha had an e ec on he body o knowledge a e excluded. Addi ionally, ou keywo d-
based app oach o a icle selec ion may in oduce subjec i i y bias in o he p ocess. While we
a e con iden ha ou app oach esul ed in a comp ehensi e and ep esen a i e da abase, ou
eliance on Else ie Scopus and Web o Science may ha e esul ed in us o e looking ele an
wo k ha is only accessible h ough o he da abases. Addi ionally, speci ic bibliome ic
p ope ies may no be ime-s able, and ce ain common dis ibu ion pa e ns o he passi e
in es ing li e a u e may s ill be de eloping. Fu he mo e, i is wo h no ing ha he g aphs
and ci a ion ne wo ks we e in e p e ed subjec i ely. Wi h passi e in es ing’s g owing
popula i y and he numbe o publica ions a an all- ime high, i ’s clea ha in ellec ual deba e
in his ield has no ye eached sa u a ion. As a esul , he s udy’s indings may no be
exhaus i e, and he e is conside able oom o addi ional esea ch, as de ailed in Sec ions 6
and 7.
6. Resea ch implica ions
Wi h his s udy, i has been possible o obse e and cha he high g ow h ajec o y o
passi e in es ing esea ch globally, especially pos -US Subp ime c isis. The phenomenal
g ow h s o y o passi e in es men s may be a ibu able o inc easing in es o
dissa is ac ion wi h ac i e in es ing which comes a a highe p ice. The indings o ou
s udy ha e key implica ions o a ious s akeholde s: in es o s, egula o s and manage s,
hese a e discussed in de ail below:
Jou nal o Capi al
Ma ke s S udies
111
6.1 Implica ion o in es o s
Despi e he widesp ead adop ion o passi e in es ing as an in es men s a egy, i is no a
one-size- i s-all p oposi ion. Ma ke condi ions change cons an ly, and i equen ly equi es
an in o med eye o de e mine when and how much o shi away om ac i e in es men s and
owa d passi e ones. Ac i e manage s may ou pe o m mo e equen ly han passi e
manage s in ola ile ma ke s o when he economy is weakening. On he o he hand, passi e
s a egies may be p e e able when he index’s cons i uen secu i ies mo e in locks ep o when
s ocks ha e mo e consis en alua ions. Depending on he oppo uni y in di e en sec o s o
he capi al ma ke s, in es o s may gain om a combina ion o passi e and ac i e echniques.
While ac i e in es ing may be mo e p o i able in cases whe e in e na ional di e si ica ion
is equi ed, such as in es ing in eme ging ma ke s ocks, passi e in es ing may make mo e
sense in he domes ic in es ing landscape. Addi ionally, an ac i e und manage may be
be e sui ed o manage a po olio o illiquid secu i ies o one ha is ailo ed owa d a speci ic
objec i e, such as limi ing he downside isk. I ’s also wo h no ing ha in es o s, on a e age,
place a highe p emium on isk, e u n and liquidi y han on cos . This is especially ue o
hose wi h high ne wo h who ha e access o p i a e equi y, hedge unds and o he cu a ed
al e na i e in es men s. While in es ing in ETFs, in es o s should bea in mind he e ec o
ma ke egimes on TE, as de ia ions om he benchma k ypically inc ease mo e du ing
bea ish han bullish egimes. Cu ency ETFs enable in es o s o implemen a ca y ade
s a egy in hei po olios; howe e , as a wo d o cau ion, cu ency s abili y and liquidi y can
play a signi ican ole in in e na ional ETFs. Simila ly, LETFs may be be e sui ed o
dynamic s a egies and o e less alue o a long- e m in es o . Las ly, he impo ance o
in es o educa ion canno be unde es ima ed in he name o he highly di e si ied po olio
when using passi e al e na i es, o which necessa y e o s a e equi ed by egula o s and
in es o s alike.
6.2 Manage ial implica ions
The inexo able end o passi e in es ing c ea es nume ous issues o und managemen ,
including ee and e enue p essu e, which o ces adi ional manage s o seek new e enue
s eams, such as illiquid and p i a e asse s, which also implies inc eased po olio isk.
Addi ionally, he inc eased anspa ency and e iciency associa ed wi h he ETF ma ke
indica es ha manage s mus e hink he en i e alue chain, beginning wi h echnology and
he way in es men s in e ac . ETFs ou pe o m closed-ended unds in e ms o acking
abili y. Bo h, howe e , exagge a e hei eac ions o domes ic news. Index unds may be mo e
sui able o in e na ional di e si ica ion.
Acco ding o he esea ch, ETF discoun s and p emiums p omo e eedback ading,
which may esul in panic edemp ions du ing imes o ma ke s ess. Addi ionally, manage s
mus de elop no el isk managemen s a egies o educe hei eliance on cash holdings,
which a e a majo cause o po olio TEs. This is ue han be o e wi h he mo e in eg a ed
cha ac e o he wo ld economy necessi a ing quicke po olio ealignmen s as indices eel
unde p essu e. ETFs a e now a he o e on o p ice disco e y, and manage s mus adop
be e ola ili y me ics ha ake mac oeconomic and in es men disclosu e ac o s in o
accoun . Algo i hmic app oaches and boo s ap agg ega ion (Bagging) wi h supe io
p edic ing abili ies may p o e o be mo e e ec i e in his a ea. Wi h inc easing sus ainabili y
and en i onmen al conce ns; howe e , ETFs a e se o o e ake ac i e unds in he
ul illmen o ESG objec i es.
6.3 Implica ions o egula o s
The passi e in es ing phenomenon has shaken he inancial indus y by assuming
dominance on he mos closely ollowed global indices, which con adic s he ene o
JCMS
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di e si ica ion. Passi e unds a e now ha ing an impac on he c ea ion and composi ion o
he indices hey we e designed o ollow, as acke s’holdings exe cise signi ican in luence
o e o ing igh s and low momen um. Passi e in es men s ha e igge ed changes in
ma ke s uc u e ha a e s ill no ully unde s ood o ac o ed in. Ac i e managemen and a
ange o alua ion opinions on whe he a p ice is “ oo low”o “ oo high”p o ide much-needed
dep h o a ma ke as i a emp s o s ike a delica e balance be ween demand and supply
o ces, ensu ing liquidi y a all p ice poin s.
Passi e in es men s, on he o he hand, ha e a s aigh o wa d manda e o buying on
und in lows and selling on und ou lows. I passi e in es men s we e o domina e, ma ke s
would be shallow, wi h liquidi y a ailable only o he ex en ha p ices emained cons an .
Beyond he cu en p ice, he p esence o bids and o e s apidly diminishes, inc easing he
isk o s ocks being locked limi ed up/down and liquidi y e apo a ing as p ice changes
inc ease in magni ude. As p e iously s a ed, NYSE equi ies saw ewe p ice epe cussions
han NASDAQ equi ies du ing he index inclusion p ocess, demons a ing he supe io i y o
expe sys ems o e deale sys ems based on machine lea ning. Thus, wi h passi e in es ing
assuming a la ge ole in he inancial landscape, egula o s will need o de ise no el
moni o ing and disc epancy de ec ion app oaches in addi ion o eins a ing a ocus on
in es o educa ion.
7. Conclusion and u u e scope
The s udy’s objec i e is o syn hesize a ailable knowledge abou passi e in es ing and o
highligh inno a i e ad ancemen s in his ield on a wo ldwide scale. We analyzed 943
esea ch publica ions (published be ween 1998 and 2021) and p o ided a ho ough o e iew
o he cha ac e is ics ha de e mined he expansion o passi e in es men as a esul o he
win bene i s o di e si y and low cos . The collec ion o s udies has majo manage ial
implica ions, pa icula ly in e ms o po olio alloca ion, ading me hods, p ice disco e y
and subsequen in es men beha io . As de ailed in he clus e analysis sec ion, passi e
in es men has become a dominan o ce in global inancial ma ke s, wi h passi e unds
oge he con olling mo e han wo- i hs o he o ing igh s in he wo ld’s mos widely
acked equi y indices. ETFs, he mos ecen inancial inno a ion in passi e in es ing, a e
cu en ly a he o e on o p ice disco e y. Wi h he inc easing popula i y o digi al
pla o ms, high- equency ading and ma ke in e connec edness; he impac o ma ke
egimes, mic os uc u es and mac oeconomic de elopmen s on unde lying indices and
s ocks may de ine und manage s’po olio op imiza ion s a egy. Manage s mus be ale
and c ea i e in weighing he cos s and bene i s o a ious op ions o maximize he
pe o mance o hei po olios. Fu he mo e, his esea ch summa izes he a ailable
li e a u e in e ms o publica ion da e, ci a ions, geog aphic scope, in ellec ual en i onmen ,
heo ies applied and esea ch p ocedu es. Addi ionally, his pape discusses some o he
esea ch issues associa ed wi h passi e in es ing and sugges s u u e esea ch oppo uni ies
in his eme ging ield o s udy. Fu u e s udies pe aining o he clus e s unde conside a ion
may be guided by he indings ga he ed in his s udy. The e ec o con empo a y ading
pla o ms and algo i hmic ading on p ice ola ili y, p ice o ma ion and liquidi y in ETF
ma ke s is a ela i ely uncha ed e i o y wi hin he b oade ca ego y o ma ke s uc u es.
The impac o beha io al cha ac e is ics on misp icing, u u e p ices, isk p emiums and
ma ke e iciency a e all aspec s ha dese e a en ion wi hin he p icing and ma ke
e iciency clus e . Al hough he numbe o empi ically es ed and gene alizable s udies is on
he ise, u he esea ch in his a ea is equi ed. Gi en he inc easing signi icance o
de eloping na ions in in e na ional inancial ma ke s, he e a e po en ial a eas o u he
academic in es iga ion wi hin he po olio s a egies clus e , including he impac o s ock
inclusions in ETFs, p ice co ela ions, s ock be as and he a iable composi ion o he indexes
Jou nal o Capi al
Ma ke s S udies
113
acked by hese unds. Gi en he heigh ened awa eness su ounding clima e isk and
sus ainabili y, any discou se conce ning ETFs as an al e na i e in es men s a egy mus
also conside he eme gence o ETFs wi h an ESG ocus. This ep esen s a subs an ial aspec
ha me i s u he esea ch, especially wi hin he EME con ex .
No es
1. The Malaysian go e nmen execu ed an ini ial mone a y and iscal s imulus package o aling RM 7
billion (USD 0.98 billion). This was succeeded by a mo e comp ehensi e s imulus package o RM 15
billion (USD 2.1 billion), which in es ed in locally-o ien ed ini ia i es wi h mul iplie e ec s and
accoun ed o nea ly 9% o he coun y’s GDP. In addi ion, ax incen i es, p i a e inance ini ia i es,
and o -budge en u es we e inco po a ed in o he package. The s imulus package was he mos
comp ehensi e in he annals o he na ion’s economy and anked second among ASEAN na ions,
behind only Singapo e. The ci cums ances in Malaysia exhibi ed an unusual pa e n, gi en ha he
wo ldwide inancial c isis p edominan ly ma e ialized as an expo c isis as opposed o a cu ency o
banking c isis. The signi ican epe cussions we e p edominan ly expe ienced inside he s ock
ma ke s, esul ing in a apid ou low o po olio in es men s. As a esul o a oiding exposu e o
haza dous p ope y asse bubbles, Malaysian banks encoun e ed limi ed consequences in o he
inancial sec o domains and se ed as an illus a i e case s udy o insigh s gained om p io c ises.
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