交易所交易基金的流动信息丰富吗？

IF 2.9 3区经济学 Q2 BUSINESS, FINANCE

Financial Management Pub Date : 2022-04-12 DOI:10.1111/fima.12396

Liao Xu, Xiangkang Yin, Jing Zhao

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引用次数: 3

摘要

本文为交易所交易基金(ETF)市场的信息不对称提供了新的证据。通过分解ETF的日流量，我们发现，与做市和套利驱动的成分正交的意外流量成分，在预测第二天的ETF收益方面发挥了很大的作用。知情的交易者能够利用他们的信息优势，实现年化开盘价到收盘价19.16%或收盘价22.42%的收益率。意想不到的ETF组成部分的信息量进一步得到证实，因为它对第二天宏观经济和ETF相关新闻的预测能力很强，而做市和套利驱动的组成部分与即将发布的新闻没有密切关系。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

Are the flows of exchange-traded funds informative?

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Are the flows of exchange-traded funds informative?

This paper provides novel evidence of information asymmetry in exchange-traded fund (ETF) markets. By decomposing daily ETF flows, we find that the unexpected flow component, orthogonal to the components driven by market making and arbitraging, wields substantial power in predicting next day's ETF returns. Informed traders are able to exploit their information advantage to realize an annualized open-to-close return of 19.16% or close-to-close return of 22.42%. The informativeness of the unexpected ETF component is further confirmed by its strong power of predicting next day's macroeconomic and ETF-related news, while the market-making- and arbitraging-driven components are not closely related to forthcoming news.

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来源期刊

Financial Management BUSINESS, FINANCE-

CiteScore

6.00

自引率

0.00%

发文量

期刊介绍： Financial Management (FM) serves both academics and practitioners concerned with the financial management of nonfinancial businesses, financial institutions, and public or private not-for-profit organizations.