{"title":"流动性和套利对中国ETF价格效率的影响","authors":"Yuan Fu, Christine Jiang","doi":"10.1111/jfir.12349","DOIUrl":null,"url":null,"abstract":"<p>We study the potential factors that determine the large and persistent price deviations in Chinese equity exchange-traded funds (ETFs). Our results suggest that ETF liquidity and arbitrage activity are positively correlated with ETF price efficiency, and the relation is more pronounced with higher institutional ownership. We also evaluate the effect of two exogenous shocks in the Chinese market. Using a policy change that added market makers to ETFs on the Shenzhen Stock Exchange (SZSE) and Shanghai Stock Exchange (SSE), we find that market makers improve price efficiency and that the impact is stronger for ETFs with lower liquidity. We also exploit a change in trading rules on the SZSE and show that the relaxation of arbitrage restrictions improves price efficiency. Altogether, these findings provide evidence that lack of liquidity, due to the unique market structure and regulations of the Chinese market, contributes to price inefficiency of Chinese ETFs.</p>","PeriodicalId":47584,"journal":{"name":"Journal of Financial Research","volume":"46 4","pages":"1103-1140"},"PeriodicalIF":1.5000,"publicationDate":"2023-07-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"The effect of liquidity and arbitrage on the price efficiency of Chinese ETFs\",\"authors\":\"Yuan Fu, Christine Jiang\",\"doi\":\"10.1111/jfir.12349\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p>We study the potential factors that determine the large and persistent price deviations in Chinese equity exchange-traded funds (ETFs). Our results suggest that ETF liquidity and arbitrage activity are positively correlated with ETF price efficiency, and the relation is more pronounced with higher institutional ownership. We also evaluate the effect of two exogenous shocks in the Chinese market. Using a policy change that added market makers to ETFs on the Shenzhen Stock Exchange (SZSE) and Shanghai Stock Exchange (SSE), we find that market makers improve price efficiency and that the impact is stronger for ETFs with lower liquidity. We also exploit a change in trading rules on the SZSE and show that the relaxation of arbitrage restrictions improves price efficiency. Altogether, these findings provide evidence that lack of liquidity, due to the unique market structure and regulations of the Chinese market, contributes to price inefficiency of Chinese ETFs.</p>\",\"PeriodicalId\":47584,\"journal\":{\"name\":\"Journal of Financial Research\",\"volume\":\"46 4\",\"pages\":\"1103-1140\"},\"PeriodicalIF\":1.5000,\"publicationDate\":\"2023-07-14\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Financial Research\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://onlinelibrary.wiley.com/doi/10.1111/jfir.12349\",\"RegionNum\":3,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Financial Research","FirstCategoryId":"96","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1111/jfir.12349","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
The effect of liquidity and arbitrage on the price efficiency of Chinese ETFs
We study the potential factors that determine the large and persistent price deviations in Chinese equity exchange-traded funds (ETFs). Our results suggest that ETF liquidity and arbitrage activity are positively correlated with ETF price efficiency, and the relation is more pronounced with higher institutional ownership. We also evaluate the effect of two exogenous shocks in the Chinese market. Using a policy change that added market makers to ETFs on the Shenzhen Stock Exchange (SZSE) and Shanghai Stock Exchange (SSE), we find that market makers improve price efficiency and that the impact is stronger for ETFs with lower liquidity. We also exploit a change in trading rules on the SZSE and show that the relaxation of arbitrage restrictions improves price efficiency. Altogether, these findings provide evidence that lack of liquidity, due to the unique market structure and regulations of the Chinese market, contributes to price inefficiency of Chinese ETFs.
期刊介绍：
The Journal of Financial Research(JFR) is a quarterly academic journal sponsored by the Southern Finance Association (SFA) and the Southwestern Finance Association (SWFA). It has been continuously published since 1978 and focuses on the publication of original scholarly research in various areas of finance such as investment and portfolio management, capital markets and institutions, corporate finance, corporate governance, and capital investment. The JFR, also known as the Journal of Financial Research, provides a platform for researchers to contribute to the advancement of knowledge in the field of finance.
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