Do ETF flows increase market efficiency? Evidence from China

被引：4
|
作者：
Chen, Jilong [1 ]
Xu, Liao [1 ,2 ]
Zhao, Yang [3 ]
机构：
[1] Zhejiang Gongshang Univ, Int Business Sch, Hangzhou, Peoples R China
[2] Zhejiang Gongshang Univ, Sch Finance, Hangzhou, Peoples R China
[3] Cent Univ Finance & Econ, Chinese Acad Finance & Dev, Beijing, Peoples R China
来源：
ACCOUNTING AND FINANCE | 2020年 / 60卷 / 05期
关键词：
Efficient price; Exchange traded funds; Fund flows; Market efficiency; Price discovery; ECONOMIC TIME-SERIES; INFORMATIONAL EFFICIENCY; CROSS-SECTION; FUND FLOWS; PRICE; LIQUIDITY; COMPONENTS; SECURITY;
D O I：
10.1111/acfi.12667
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Focusing on the equity exchange traded funds (ETFs) in China, we demonstrate the significant effect of ETF flows on the informativeness of the ETF index. Following the novel approach proposed by Xuet al(2019a). to identify different driving forces for ETF flows, we explore whether the forward-looking ETF flows at a day's closing substantially improve the index's efficiency on the next day. The mechanism behind it is inter-market information spread: the efficiency effect of the forward-looking ETF flows strengthens when ETFs share more new information; and the forward-looking ETF flows increase the information flow to the ETF index on the next day.
引用
收藏
页码：4795 / 4819
页数：25
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