ETFs' Fund Flow,Market Return and Investor Sentiment;the Evidence from A - share Stock Market
研究了A股市场ETF资金流动与股票市场回报的关系，发现市场回报对资金流动的影响由负反馈假说和对冲假说共同解释，而资金流动对市场回报的影响在金融危机前后分别由价格压力假说和投资者情绪假说解释。
This paper analyzes the relationship between ETFs' fund flow and stock market return,so as to extend existing domestic research from mutual funds to ETFs.It is evidenced that negative feedback hypothesis and hedging hypothesis jointly explains the influences of market return on ETFs' fund flow.While the influences of ETFs' fund flow on market return before and after financial crisis are respectively explained by price pressure hypothesis indirectly and investor sentiment hypothesis,which is determined by the alteration of total funds volume in A - share stock market and investors structure of ETFs.