投资者情绪、套利限制与错误定价——基于中国A股市场ETF的实证研究  

Investor Sentiment,Arbitrage Limits and Mispricing——An Empirical Study Based on ETFs in the A-share Market of China

作　　者：薛英杰 李荣达 刘昌阳 Xue Yingjie;Li Rongda;Liu Changyang(China Institute of Finance and Banking,University of International Business and Economics,Beijing 100029,China;Center for Rural Finance&Investment Research,China Agricultural University,Beijing,100091 China;School of Economics and Management,Chongqing Jiaotong University,Chongqing 400074,China)

机构地区：[1]对外经济贸易大学金融学院,北京100029 [2]中国农业大学农村金融与投资研究中心,北京100091 [3]重庆交通大学经济与管理学院,重庆400074

出　　处：《金融发展研究》2022年第12期13-24,共12页Journal Of Financial Development Research

摘　　要：本文以中国A股市场的股票指数ETF为研究对象,分析了ETF和基础资产错误定价的程度和原因,讨论了ETF套利对基础资产定价的影响,解释了ETF错误定价的内在机制,提出了消除错误定价的投资策略。研究结果显示,ETF折溢价是投资者非理性行为和套利限制共同导致的错误定价,这种错误定价主要出现在ETF层面,ETF错误定价的修正表现为折溢价对未来ETF收益有负向预测作用,但对基础资产未来收益无显著预测性,意味着ETF套利并没有对基础资产定价产生严重影响,投资者每周可以通过投资策略从ETF上获得0.9%的收益。进一步从投资者情绪和套利限制两个视角分别解释了ETF错误定价的内在机制,发现投资者情绪越高,套利限制越严重,ETF错误定价越大,折溢价对未来ETF收益的预测性越强。This paper analyzes the extent and causes of mispricing of ETFs and underlying assets,discusses the impact of ETF arbitrage on the pricing of underlying assets,explains the underlying mechanism of ETF mispricing,and proposes investment strategies to eliminate mispricing,using equity index ETFs in the Chinese A-share market as the research object. The findings show that ETF discount and premium are mispricing caused by a combination of irrational investor behavior and arbitrage restrictions,and this mispricing mainly occurs at the ETF level. The correction of ETF mispricing is shown by the negative predictive effect of discount and premium on future ETF returns,but no significant predictive effect on future returns of the underlying asset,implying that ETF arbitrage does not have a serious impact on the pricing of the underlying asset. Investors can gain 0.9 percent per week from ETFs through the investment strategy. The intrinsic mechanism of ETF mispricing is further explained from the perspectives of investor sentiment and arbitrage restriction,respectively,and it is found that the higher the investor sentiment and the more severe the arbitrage restriction,the greater the ETF mispricing and the stronger the predictive power of discount and premium on future ETF returns.

关 键 词：ETF折溢价 资产定价 交易摩擦 套利活动 收益预测 

分 类 号：F832.5[经济管理—金融学]