Companies included in three of the four most actively traded industry ETFs showed a higher correlation at the end of 2011 than during the financial crisis of 2008 and 2009, the study said.
The report examines the relationship between ETFs and correlation on an industry group level "and there is an impact," Boroujerdi said in the e-mail.
Stage Stores, FMC
The Goldman Sachs analysts also estimated the impact of ETFs on the trading volume of individual stocks. Smaller companies were more affected. Among Russell 2000 companies, three had more than 60 percent of their volume driven by ETF trading, led by Houston-based retailer Stage Stores Inc. at 66 percent.
Among S&P 500 companies, Houston-based FMC Technologies Inc., an offshore-drilling technology firm, topped the list with an estimated 23 percent of volume driven by ETF trades.
The study didn't examine the impact from trading in leveraged ETFs, which make use of derivatives to amplify their bets, or those that are predominantly based in swaps, futures or other non-single equity securities.
Almost all ETFs invest shareholder money in a basket of stocks, bonds or commodities that tracks the performance of an index. Unlike mutual funds, their shares trade throughout the day on an exchange like stocks.