被动指数投资提升市场监督功能了吗?  

Do Passive Index Investment Enhance Market Monitoring Functions?

作　　者：麦木蓉 Murong Mai(School of Economics and Finance,South China University of Technology;Postdoctoral Research Station of Guangzhou Yuexiu Holdings Limited)

机构地区：[1]华南理工大学经济与金融学院 [2]广州越秀集团股份有限公司博士后科研工作站

出　　处：《经济管理学刊》2025年第1期133-158,共26页Quarterly Journal of Economics and Management

摘　　要：中证A500ETF的发行使得市场聚焦被动投资。交易型开放式指数基金(ETF)作为一种成熟的被动投资工具,因其独特和创新的交易属性逐渐得到了更多的关注。本文从ETF持股角度探究被动指数投资工具能否提升市场监督功能。研究结果发现,个股被ETF持股比例越高,越能够减少股东的股权质押行为。渠道机制探究发现,ETF持股主要是通过减少股价信息时滞性、对冲噪音交易两个渠道发挥作用,最终提高股价信息效率,从而形成监督作用,减少股东的股权质押行为。就股权特征的进一步分析结果表明,在第一大股东持股比例更高或非国有企业中该监督效应更加显著。在信息披露管理水平较差时,ETF持股带来的改善效果也较为明显。本文结果经过工具变量等多种检验后依旧稳健。本文的结论对提升市场有效性、增强市场监督功能、形成良性的治理循环具有重要的启示。The issuance of the CSI A500 ETF has shifted market attention towards passive investment strategies.ETFs,as a well-established passive investment tool,have garnered increasing attention due to their unique and innovative trading attributes.This paper investigates whether passive index investment tools enhance market monitoring functions from the perspective of ETF ownership.The findings reveal that a higher proportion of ETF ownership in individual stocks significantly reduces the prevalence of shareholder equity pledging.An exploration of the underlying mechanisms suggests that higher ETF ownership mitigates information delay and offsets existing noise trading,thereby improving stock price information efficiency.This enhanced efficiency generates a monitoring effect,ultimately reducing equity pledging by shareholders.In terms of ownership characteristics,the monitoring effect is more significant in firms where the largest shareholder holds a higher ownership stake or in non-SOE enterprises.Further,the improvement effects brought about by ETFs are more pronounced in firms with lower levels of information disclosure quality.The results of the study remain robust after undergoing various tests,including instrumental variable analysis.The conclusions of this study provide important insights for improving market efficiency,strengthening market monitoring functions,and fostering a virtuous governance cycle.We primarily examine the enhancement of market monitoring functions from the perspective of ETF ownership,using equity pledge as a measure of the effectiveness of market supervision.The interaction between institutional investors and corporate governance generally operates through three mechanisms:active governance,“voting with their feet”,and market-based information mechanisms for indirect supervision.Given the diverse investor base and dispersed composition of ETFs,we argue that the third mechanism predominantly underpins their market monitoring role.We investigate whether an increase in the proportion of ETF

关 键 词：ETF 股权质押 信息效率 

分 类 号：F832.5[经济管理—金融学]