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.