Research On The Impact Of Investor Sentiment On China’s ETF Discount And Premium

Since the traditional "law of one price" in finance is not fully applicable to the explanation of the ETF discount and premium phenomenon,scholars have begun to consider the influence of behavioral finance—investor sentiment.When measuring investor sentiment that affects the level of discounts and premiums of ETFs,most scholars use proxy indicators based on the relevant transaction data of the Chinese securities market to construct investor sentiment.In this regard,this article has made a certain degree of improvement on the basis of existing research.First,considering the high correlation and transitivity of investor sentiment in the securities markets of China and the United States,the proxy indicators used contains both China and the United States related transaction data of the securities market.Second,taking into account the defects of the principal component analysis method,the construction method is a more accurate partial least squares method.Under such improvement,a new investor sentiment:index-Sino-US Investor Sentiment Comprehensive Index was constructed.Then its effect on our country’s A-share ETF discount and premium level and the role that institutional investors play in it was studied empirically.The main findings of this article are as follows:First,the China-US Investor Sentiment Composite Index explains the ETF discount and premium level far more powerfully than the pure Chinese investor sentiment index.Second,under different investor sentiment situations,the role of institutional investors play in the impact of investor sentiment on the ETF discount and premium is different:During periods of low sentiment,the increase in the proportion of institutional investors can alleviate the adverse effect of investor sentiment on the ETF,which will be exacerbated during periods of high sentiment.Such research results remind investors and relevant departments:First,not only pay attention to the changes in investor sentiment in the domestic market,but also pay attention to changes in investor sentiment in the international market.Second,according to the difference in market sentiment status,investors should make differentiated investments,regulatory authorities should formulate effective differentiated control policies.