中文摘要：

本文基于2008年1月～2010年12月期间在上海证券交易所上市的12支ETF的申购、赎回和二级市场交易的专有账户级明细数据,研究了机构投资者与个人投资者的参与度与竞争度对于ETF市场定价效率的影响及其经济机理。研究结果发现,与个人投资者不同,机构投资者的参与度与竞争度能够有效提高ETF的定价效率,并且机构投资者对于ETF市场的这一正向作用依赖于其ETF市场参与经验的积累,并且在ETF信息不对称性较低时表现更强。研究结果揭示了投资者结构对于资产定价的重要意义,指出了机构投资者在ETF市场中所扮演的重要角色。

英文摘要：

Using a proprietary account level database of ETF trading for primary and secondary markets in Shanghai Stock Exchange from January 2008 to December 2010, we investigate the effect of institutional and retail investors＇ participation and internal competition on ETF pricing efficiency and the economic mechanism underlying it. Empirical results indicate that only institutional investors＇ trades and competition significantly improve ETF pricing efficiency. Institutional investors＇ positive effect only exists when they have more trading experience and become stronger when ETFs＇ information asymmetry is lower. Our findings highlight the importance of investor heterogeneity on asset pricing and identify the novel role of institutional investors on ETF market.