ETF资金流、市场收益与投资者情绪——来自A股市场的经验证据  

ETFs' Fund Flow,Market Return and Investor Sentiment;the Evidence from A - share Stock Market

作　　者：杨墨竹[1] 

机构地区：[1]东北财经大学金融学院,辽宁大连116025

出　　处：《金融研究》2013年第4期156-169,共14页Journal of Financial Research

基　　金：国家自然科学基金项目(71171036;71072140;70871019);教育部人文社会科学研究规划基金项目(10YJA790117);教育部人文社科青年基金项目(12YJC790091;09YJC630022)的资助

摘　　要：本文对A股市场ETF总资金流与市场收益的关系进行了研究,将国内已有研究由传统型开放式基金扩展到ETF这种新型金融衍生产品。结论显示:负反馈交易假说和套期保值假说能够解释市场收益对ETF总资金流的影响;而对于ETF总资金流对市场收益的影响,金融危机前主要由价格压力假说间接解释,金融危机后则由投资者情绪假说所解释,资本市场总资金量和ETF投资者结构的变动是导致上述差异产生的主要原因。This paper analyzes the relationship between ETFs＇ fund flow and stock market return, so as to extend existing domestic research from mutual funds to ETFs. It is evidenced that negative feedback hypothesis and hedging hypothesis jointly explains the influences of market return on ETFs＇ fund flow. While the influences of ETFs＇ fund flow on market return before and after financial crisis are respectively explained by price pressure hypothesis indirectly and investor sentiment hypothesis, which is determined by the alteration of total funds vol- ume in A - share stock market and investors structure of ETFs.

关 键 词：ETF资金流 市场收益 投资者情绪 

分 类 号：F224[经济管理—国民经济] F832.51