所属栏目:资本市场/市场微观结构

摘要

This paper investigates how arbitrage frictions shape ETF return dynamics in China, providing a clean setting to abstract from firm-specific private information. Using a panel of 316 equity ETFs in China's markets, we document that retail-driven order imbalances generate immediate price pressure, which is rapidly reversed in large-cap ETFs but persists in small-cap ETFs due to severe inventory and execution constraints. During the 2015 market crash, systemic price limits blocked creation-redemption channels, causing the usual mean-reversion to collapse into sustained positive continuations. Our findings highlight that, absent information asymmetry, post-shock ETF returns are governed primarily by the structural resilience of the arbitrage mechanism rather than behavioral overreaction.
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Yizhao Huang; Ying Yuan; Nin Sun Order Imbalance and ETF Returns: The Role of Arbitrage Frictions (2026年11月12日) https://www.cfrn.com.cn/lw/17001

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