指数基金持股增加了股票定价效率吗--基于中国A股市场的实证研究  

Does Index Fund Holding Increase the Efficiency of Stock Pricing?An Empirical Study Based on China's A-Share Markets

作　　者：薛英杰 汪勇 尹玉刚[1] XUE Yingjie;WANG Yong;YIN Yu-gang(Southwestern University of Finance and Economics,Chengdu 611130,China)

机构地区：[1]西南财经大学证券与期货学院,四川成都611130

出　　处：《当代财经》2021年第4期53-65,共13页Contemporary Finance and Economics

基　　金：国家自然科学基金面上项目“对国有企业高杠杆的控制权网络解析”(71874145);国家自然科学基金青年项目“上市公司产品竞争与股票市场定价:机制与实证研究”(71903154)。

摘　　要：基于2011-2019年中国A股市场的指数基金(即ETF)成分股数据,以噪声交易者参与度和股价反映信息延迟程度代理定价效率,运用面板固定效应模型研究了ETF持股对股票定价效率的影响,并进行机制分析。结果显示:第一,被ETF持股比例越高的股票,股价反映信息越及时准确,即定价效率越高。第二,ETF持股主要通过交易成本、卖空限制和信息挖掘三种机制影响股票定价效率,ETF持股比例越高,越有助于降低交易成本和卖空限制,并吸引更多的分析师挖掘信息。第三,ETF持股比例主要受基金申购赎回和成分股调整影响,基金申购赎回相关的ETF持股比例上升,可以提高股价反映信息的速度和准确性;而成分股调整相关的ETF持股比例上升,只能提高股价反映信息的速度。因此,相关部门应丰富ETF产品类型,引导机构投资者参与ETF交易,推动ETF期权发展,完善ETF卖空机制和监管制度,规范ETF市场运作。Based on the data of the constituent stocks of the index funds(i.e.ETF)in China's A-share market from 2011 to 2019,this paper takes the degree of noise trader participation and the delaying degree of stock prices responding information as a proxy for pricing efficiency and employs the panel fixed effect model to study the impact of ETF holding on stock pricing efficiency and to conduct a mechanism analysis.The findings show that:firstly,the higher the proportion of the shares held by the ETF,the more accurate and timely the stock price responding information will be,that is,the higher the pricing efficiency.Secondly,ETF holdings mainly affect the efficiency of stock pric-ing through the three mechanisms:transaction costs,short-sale constraints,and information mining;the higher the proportion of ETF holdings,the more helpful it is to reduce transaction costs and short-sale constraints,and to attract more analysts to mine information.Thirdly,the proportion of ETF holding is mainly affected by fund purchase and redemption and the component stock rebalancing;the increase in the ETF holding related to fund purchase and redemption can improve the speed and accuracy of stock price reflection information,while the increase in the ETF holding related to the component stock rebalancing can only improve the speed of stock prices reflecting information.Therefore,it is recommended that the relevant departments should enrich the types of ETF products,guide institutional investors to participate in ETF transactions,promote the development of ETF options,improve the ETF short-sale mechanism and regulatory system,and standardize the operation of the ETF markets.

关 键 词：ETF持股 定价效率 交易成本 卖空限制 信息挖掘 

分 类 号：F832.5[经济管理—金融学]