党的二十大报告中强调坚持高水平对外开放是贯彻新发展理念和推动高质量发展的必然要求。而资本市场对外开放是我国对外开放政策的主要内容之一，资本市场开放可以吸引境外资金流入，改善投资者结构，提高资本市场资源配置效率，利于经济增长，加速人民币的国际化进程。本文从ETF纳入沪港深互联互通机制的视角，研究资本市场的渐进式对外开放对ETF资产定价效率的影响。本文以2020年到2023年共四年的内地ETF的月度数据为样本，利用ETF分批纳入互联互通机制这一政策，构建多时点双重差分模型。实证结果发现ETF纳入互联互通机制后其定价效率发生了显著的提高。进一步进行机制分析发现，定价效率的提高主要是通过换手率的降低和交易量的提高导致的。从换手率的角度，ETF纳入互联互通机制后，投资者的结构得到改善，投资信息更加畅通，使得投资者的行为更加理性，从而降低了投资者之间的异质信念，表现为换手率降低。这种较低的异质信念也减少了ETF二级市场的价格泡沫，从而提高了ETF基金的定价效率。从交易量的角度，ETF通实施后，由于投资者范围的扩大和投资情绪的高涨，提高了交易量，而由回归结果可知交易量与ETF基金的信息反应程度成正比，从而提高了信息反应程度，提高了其定价效率。基于上述研究，本文证实资本市场渐进式开放提高了ETF资产的定价效率，在未来互联互通机制持续深化创新的过程中，境内资本市场监管能力建设和信息传递渠道建设也需不断巩固提高，以适应我国的高质量制度型开放。

Report to the 20th CPC National Congress emphasized that adhering to a high level of opening to the outside world is an inevitable requirement for implementing the new development concept and promoting high-quality development. Opening the capital market is one of the main contents of China's opening-up policy, which can attract foreign capital inflows, improve the investor structure, improve the efficiency of resource allocation in the capital market, facilitate economic growth and accelerate the internationalization of RMB. This paper studies the influence of the gradual opening of the capital market on the pricing efficiency of ETF assets from the perspective of ETF's inclusion in the Shanghai-Hong Kong-Shenzhen interconnection mechanism. Based on the monthly data of ETFs in mainland China for four years from 2020 to 2023, this paper constructs a multi-point double difference model by using the policy that ETFs are included in the interconnection mechanism in batches. The empirical results show that the pricing efficiency of ETFs has been significantly improved after they are included in the interconnection mechanism. Further mechanism analysis shows that the improvement of pricing efficiency is mainly caused by the decrease of turnover rate and the increase of trading volume. From the perspective of turnover rate, after ETF is incorporated into the interconnection mechanism, the structure of investors is improved, investment information is smoother, and investors' behavior is more rational, thus reducing the heterogeneous beliefs among investors, which is manifested in the decrease of turnover rate. This low heterogeneous belief also reduces the price bubble in ETF market, thus improving the pricing efficiency of ETF funds. From the perspective of transaction volume, after the implementation of ETFs, due to the expansion of investors' scope and the high investment sentiment, the transaction volume is increased, and the regression results show that the transaction volume is directly proportional to the information response degree of ETF funds, thus improving the information response degree and its pricing efficiency. Based on the above research, this paper proves that the gradual opening of the capital market improves the pricing efficiency of ETF assets. In the process of continuous deepening and innovation of interconnection mechanism in the future, the construction of domestic capital market supervision capacity and information transmission channels need to be consolidated and improved to adapt to China's high-quality institutional opening.