国际ETF市场异象解读——追随标的指数市场收益还是本土金融市场收益

The Anomalies in the International ETF Market——the Underlying Index Market Gains or the Local Financial Market Gains

交易所交易基金(以下简称ETF)是近些年来一项重要的金融创新。ETF市场也存在封闭式基金折价之谜的类似"异象"。追踪国外指数的国际ETF涉及到两个区域的市场,本土金融市场和标的指数市场,其市场异象有独特的内涵。本文通过实证手段印证了这些异象的存在——对追踪标的资产价值变动的反应不足和本土市场收益变动的反应过度,然后从投资者心理认知偏差、情绪等非理性方面对这些异象进行解释,并通过模拟实验对这些结论进行验证。

Exchange trade fund(ETF) is an important financial innovation in recent years.The ETF markets experienced anomalies similar to the close end fund puzzle.The international ETF connects with both foreign market and local market and thus have unique anomalies.This article uses empirical methods to prove the existence of the anomalies,such as under-reaction to the move of the value of the underlying assets and over reaction to the change of the local market gains.It explains the anomalies by analyzing investors' cognition biases and moods,while uses the simu lation method to verify the hypothesis.