中国跨境ETF的价格偏离:情绪驱动还是信息驱动?

What Drives Price Deviation of China Cross-Border ETF: Sentiment or Information?

跨境ETF与其标的资产的交易市场存在时区差异,在跨境ETF交易期间价格经常会偏离净值,其究竟是情绪驱动还是信息驱动?本文以2011-2018年中国市场上交易的跨境ETF为样本,利用投资者对市场或行业信息过度反应效应,构建动态调整策略和购买持有策略获得策略超额收益,分离了过度反应对跨境ETF价格偏离的影响。研究结果显示,中国市场的投资者往往受市场或行业情绪影响对信息过度反应,使得跨境ETF价格偏离内在价值,投资者情绪对跨境ETF价格偏离的影响具有行业特征,并表现出不对称性,投资者面临负向情绪时可能更容易过度反应。进一步比较美国、新加坡、中国香港地区三个发达市场的跨境ETF,中国市场的投资者在跨境ETF交易中更容易受情绪影响,使得跨境ETF价格偏离程度更大。

There is a time zone difference between cross-border ETF and the market for its underlying assets, and the price often deviates from its net value during cross-border ETF trading. Is it sentiment or information? Taking the ETF cross-border ETF traded in the Chinese market as our research samples during the period 2011-2018, this paper makes use of the overreaction effect of investors to market or industry information, constructs the dynamic rebalance strategy and the purchase-hold strategy to obtain the excess return, separates the influence of sentiment on cross-border ETF price deviation. The results show that investors often overreact to information under the influence of market or industry sentiment, which makes cross-border ETF price deviate from intrinsic value, and investor sentiment affects cross-border ETF price deviation with industry characteristics, and the influence of the sentiment on the strategy excess return is asymmetrical, and the negative sentiment has a greater impact on the strategy excess return than the positive sentiment, it shows that investors may be more likely to overreact when faced with negative sentiment. And cross-border ETF price deviation from intrinsic value is driven by investor sentiment, which is the result of market mispricing Further compared with cross-border ETF in the three developed markets of the United States, Singapore and Hong Kong, investors in the Chinese market are more likely to be affected by sentiment in cross-border ETF transactions and make the cross-border ETF price deviate more.