ETF是否有助于资本市场优化资源配置  

Role of ETFs in Enhancing Capital Market Resource Allocation

作　　者：李盼 朱小能[1] Li Pan;Zhu Xiaoneng

机构地区：[1]上海财经大学金融学院

出　　处：《金融经济学研究》2024年第5期67-82,共16页Financial Economics Research

基　　金：国家社会科学基金重大项目(20&ZD102);上海市高峰学科创新团队项目(2018110262);上海财经大学创新团队项目(2018110698)。

摘　　要：ETF可通过提高定价效率改善企业投融资效率,从而达到优化资源配置的目的。运用固定效应模型和模糊断点回归模型,检验ETF对定价效率和企业投融资效率的影响。研究发现,ETF通过降低成分股的波动率和交易成本,对股票定价效率带来正面影响;能引导金融资源向前景好的企业倾斜,显著提高企业融资效率;显著缓解企业投资不足并降低非效率投资,改善企业投资效率。异质性研究表明,ETF对企业投资效率的提升作用对民营企业、小企业和战略导向的代表性企业更明显。研究结论对ETF更好发挥资本市场枢纽功能从而推进经济高质量发展具有启示作用。Exchange-traded funds(ETFs)can optimize resource allocation by improving pricing efficiency,thereby enhancing companies’financing and investment efficiency.This study employed fixed-effects models and fuzzy regression discontinuity design to examine the impact of ETFs on pricing efficiency,corporate financing,and investment efficiencies.The findings suggest that ETFs positively influence stock pricing efficiency by reducing the volatility and transaction costs of constituent stocks.Furthermore,ETFs facilitate the channeling of financial resources toward companies with promising prospects,significantly enhancing their financing efficiency.They also alleviate underinvestment issues and reduce inefficient investments,improving corporate investment efficiency.Heterogeneity analysis indicates that the beneficial impact of ETFs on corporate investment efficiency is more pronounced in private companies,small companies,and representative companies with strategic orientations.These conclusions offer insights into how ETFs can better fulfill their pivotal role in capital markets,thereby promoting high-quality economic development.

关 键 词：交易型开放式指数基金(ETF) 定价效率 融资效率 投资效率 

分 类 号：F832[经济管理—金融学]