金融创新与知情交易:来自中国行业ETFs的证据

Financial Innovation and Informed Trading:Evidence from Chinese Industry ETFs

行业ETFs是一种基于特定行业的交易型开放式指数基金(industry exchange-traded funds,IETFs),旨在为投资者提供一种低成本、高流动性的金融创新工具.文章结合中国金融市场融资融券与转融券制度,采用Huang等(2020)的方法构造IETFs,从套期保值视角分析IETFs的资产定价问题.研究发现:首先,在做多标的股票/做空IETF的交易策略下,当上市公司宣布正向盈余意外信息时,知情交易者会同时大幅增持此标的股票的多头和该股票所属行业ETFs的卖空头寸,表明IETFs可以促进知情交易者利用公司特定信息对冲行业风险,实现套期保值的目的.其次,IETFs降低了其成分股的特质波动率和非流动性,证实IETFs使知情投资者获取到公司特定信息所带来的收益.随后,股价将更充分地反映公司层面信息,由此提高了市场效率.最后,在中国引入转融券业务后,知情交易者还可以通过转融券对冲行业风险,表明中国转融通制度为投资者提供对冲行业风险的多样化选择.

Industry exchange-traded funds(IETFs)are designed to target as specific industries,providing investors with a low-cost,high-liquidity financial innovation tool.Combining the margin financing and refinancing systems in the Chinese financial market,this article uses(Huang,et al.,2020)method to construct industry ETFs to analyze the pricing of ETFs from the perspective of hedging.The study finds that:Firstly,under the hedging strategy of going long underlying stock/short industry ETF,when a listed company announces positive earnings surprise information,informed traders will significantly increase their long position in the underlying stock while simultaneously increasing their short position in the industry ETFs to which the stock belongs.This indicates that industry ETFs facilitate informed traders to use firm-specific information to hedge industry risks and realize the hedging function.Secondly,industry ETFs reduce the idiosyncratic volatility and illiquidity of their constituent stocks.This means that industry ETFs allow investors to benefit from firm-specific information.Consequently,stock prices will more fully reflect firm-level information,thus improving market efficiency.Finally,the introduction of refinancing facilitates informed traders into hedginge industry risks,indicating that Chinese refinancing system provides investors with diversified options to mitigate industry risks.