摘要
本文从投资者情绪视角解释A股市场ETF的折溢价现象,将国内行为金融学研究由传统基金扩展到ETF这种金融创新产品。研究发现,A股市场的投资者情绪与ETF溢价率正相关。进一步的研究显示,A股市场投资者情绪对ETF溢价率的影响在不同市场状态下呈现不同特征,具体表现为在悲观市场中两者负相关,而在中性市场和乐观市场中两者正相关。此外,A股市场投资者情绪对ETF溢价率的影响随着机构持股比例的下降而逐渐增强。
This paper analyzes the phenomenon of ETFs discount/premium in A - share stock market from the perspective of investor sentiment, so as to extend domestic research in behavioral finance from traditional funds to ETFs. It is found that there is a positive relationship between investor sentiment and ETFs＇ premium rate. Further evidence indicates that the correlation between investor sentiment and ETF＇s premium rate varies with market conditions ： negative correlation in pessimistic market, while positive correlation in neutral and optimistic market. It is finally found that the relationship between investor sentiment and ETFs＇ premium rate gets more significant with decreasing of institutional ownership.
出处
《金融研究》
CSSCI
北大核心
2014年第2期180-192,共13页
Journal of Financial Research
基金
国家自然科学基金(71171036
71072140
70871019)
教育部人文社会科学青年基金项目(12YJC790091)
辽宁省教育厅人文社会科学重点研究基地专项项目(ZJ2013037
ZJ2013043)
辽宁省教育厅科学研究一般项目(W2013206)资助
关键词
ETF折溢价
投资者情绪
机构持股比例
ETF discount/premium, Investor sentiment, Institutional ownership
