ETF's "physical purchase and redemption" mechanism is the essence of this product structure, or is it forced by this mechanism? The price of ETF tends to be consistent with the net value, which greatly reduces the discount (overflow) range of ETF. In most cases, arbitrage must be bought or redeemed. The arbitrage behavior of ETF is briefly described as follows: First, when the exchange market ETF quotation is lower than its secondary market quotation, it is lower than its net assets. Buy a lot of ETFs at the price of 100%, then redeem a basket of stocks in the primary market, and then sell stocks in the secondary market to earn the difference. This arbitrage mechanism will make the transaction price of ETF in the exchange market enter the market in the form of institutional arbitrage, thus driving the quotation to rise and narrowing the discount gap, which has the effect of making the market transaction price of ETF tend to be consistent with the net value of fund shares.

Secondly, when the ETF quotation in the exchange market is higher than its net asset value, a premium occurs? At that time, institutions can buy a basket of stocks in the secondary market, then buy ETFs in the primary market, and then sell ETFs bought in the secondary market at a price higher than the net fund share to earn the difference. This arbitrage mechanism will make the ETF transaction price in the exchange market get institutional arbitrage selling? Entering the market will drive the quotation down, narrow the premium gap, and also have the effect of making the market transaction price of ETF tend to be consistent with the net value of the basic fund share. It is precisely because of this arbitrage mechanism that institutions are willing to actively participate in ETF transactions, thus driving the ETF market to be active. When the arbitrage activity in ETF market is active, the discount and premium space of ETF will gradually shrink. Sell all the stocks in the market, because the index is at 5000 points, then the selling price is equivalent to 5.00 yuan.