ETF trading in China adopts a dual-market model of coexistence of primary market redemption and secondary market trading,and the pricing deviation between the two markets persists for a long time.To explore the reasons and mechanisms for the formation of ETF pricing deviation,this paper constructs an equilibrium model based on the information theory and analyzes the main factors affecting pricing deviation and their directions.At the same time,this paper uses the data of equity ETFs in China's A-share market to empirically test the predictions of the theoretical model.The research finds that the degree of ETF market pricing deviation increases with higher constituent stock idiosyncratic risk and greater ETF tracking error,while the ETF market liquidity and market information trading volume have a negative impact on pricing deviation.These conclusions are still valid under various robustness tests.This paper provides a new perspective and theoretical basis for an in-depth understanding of the pricing mechanism of the ETF market and has a certain guiding significance for promoting and improving the development of China's ETF market.
万方数据
维普
