Single-Stock Leveraged ETFs and Underlying-Market Quality: Evidence from Samsung Electronics and SK Hynix

We study changes in underlying-market quality around Korea's May 2026 introduction of single-stock leveraged ETFs, using Samsung Electronics and SK Hynix as a case study. These were the first eligible underlying stocks. We find little evidence of persistent abnormal returns, but volatility and downside risk are significantly higher for both stocks in the post-listing window. Liquidity improves for SK Hynix but not clearly for Samsung Electronics. Investor-specific net buying changes little, whereas trading participation shifts across groups. Margin balances rise, new margin trading falls, and securities-lending balances decline, indicating changes in conventional leverage activity. Earlier Hong Kong listings provide supplementary evidence that responses vary across firms and venues. Overall, volatility is the most consistent post-listing change across the two stocks. Other dimensions of the trading environment, including liquidity, investor participation, and conventional leverage activity, also change around the listings, although these changes are heterogeneous and need not represent independent ETF-specific channels.