证券市场导报Issue(5)：47-57,69,12.
流动性服务机制如何降低ETF折溢价率波动
摘要
Abstract
Against the backdrop of rapid expansion in China's ETF market,elucidating how liquidity service mechanisms optimize liquidity supply structure and facilitate timely correction of ETF price deviations holds significant practical implications.This study employs the phased implementation of liquidity service mechanisms by Shanghai and Shenzhen Stock Exchanges as a quasi-natural experiment,utilizing monthly data from equity ETFs and constructing a stacked difference-in-differences model to systematically evaluate policy effects.The findings reveal that following ETF inclusion in liquidity service mechanisms,premium-discount rate volatility significantly decreases,an effect that withstands multiple robustness tests.The mechanisms operate through three channels:first,continuous bilateral quotations reduce trading frictions,thereby enhancing arbitrage transaction executability and accelerating price deviation correction;second,by stipulating minimum quotation quantities,the mechanism improves market capacity to absorb and buffer large orders,reducing the marginal price impact of substantial transactions;third,through stable order book supply,temporary noise and non-fundamental shocks in prices are absorbed more rapidly by the market,price reflection of net asset value information becomes more timely,and premium-discount rates revert to equilibrium levels within shorter timeframes.Heterogeneity analysis indicates that policy effects are more pronounced during periods of low market returns,periods of elevated benchmark index volatility,and for ETFs with smaller scale and initially poorer liquidity.This study provides empirical evidence for improving liquidity service resource allocation and offers insights for strengthening capital market foundational institutions and promoting high-quality development of the ETF market.关键词
ETF/流动性服务机制/ETF折溢价/堆叠双重差分Key words
ETF/liquidity service mechanism/ETF premium-discount/stacked difference-in-differences分类
管理科学引用本文复制引用
王尹渚,张潇,李孝萌,白晨江..流动性服务机制如何降低ETF折溢价率波动[J].证券市场导报,2026,(5):47-57,69,12.基金项目
国家自然科学基金重大项目"间接融资模式下的科技金融体系建设与风险分担机制"(项目编号:72495155)、天津市哲学社会科学规划(一般)项目"跨境人民币结算创新驱动上合绿色产业合作的'天津模式'研究"(项目编号:TJYJQN25-18) （项目编号:72495155）
