ETF持股如何影响股票流动性?  

How ETF Ownership Impacts on Stock Liquidity

作　　者：郑天涯 Zheng Tianya

机构地区：[1]北京国有资本运营管理有限公司 [2]清华大学社会科学学院

出　　处：《投资研究》2023年第1期88-102,共15页Review of Investment Studies

摘　　要：本文基于2012-2021年沪深两市上市公司和股票型ETF数据,运用固定效应模型,探究ETF持股对股票流动性的影响机制。研究发现:(1)A股市场上,ETF持股比例增加对股票流动性有显著提升作用;(2)ETF的日内套利活动特别是日内折价套利活动,能够提升股票流动性;(3)ETF持股比例提高,能够提升成分股的投资者情绪,进而改善股票流动性。Using a sample of stocks and ETFs in the A-share market for the period 2012-2021 and a fixed-effect model, we identify the mechanism of ETFs affecting the liquidity of stocks. Firstly, the percentage of the shares held by ETFs can improve liquidity of stocks in the A-share market. Secondly, intraday arbitrage activities, especially the discount arbitrage activities, can lead to an increase in liquidity. Thirdly, an increase of percentage of the shares held by ETFs boosts investor sentiment of the stocks,which further enhances the liquidity effects.

关 键 词：ETF持股 股票流动性 日内套利 投资者情绪 

分 类 号：F832.51[经济管理—金融学]