中国ETF基金的价格发现问题
发布时间：2019-05-20 15:13
【摘要】：以中国ETF基金市场的五只ETF基金产品为研究对象,对中国ETF基金的价格发现问题进行了实证研究.基于Johansen协整检验方法及VEC模型,研究表明ETF基金二级市场价格、基金净值、跟踪指数之间存在协整关系.当以ETF基金对数价格变化作为被解释变量时,五只ETF基金VEC模型误差修正项的系数估值存在差异.当ETF基金价格的短期波动偏离长期均衡时,从非均衡状态回归到均衡状态的调整速度存在差别.基于信息份额I-S模型和永久短暂P-T模型,发现五只ETF基金的二级市场价格、基金净值、跟踪指数在价格发现过程中的信息份额贡献比例并没有表现出一致性,ETF基金净值在价格发现过程中信息份额贡献相对较大,ETF基金净值在中国ETF基金价格发现过程中具有较强的主导作用.中国ETF基金全部为指数基金,紧密跟踪指数是五只ETF基金的最基本投资策略,实证研究发现除上证红利ETF基金SH510880、中小板ETF基金SZ159902外,其余三只ETF基金并未表现出跟踪指数为先行指标的特征,其跟踪指数在价格发现过程中信息份额贡献并非最大,因此中国ETF基金市场的价格发现过程存在着信息效率(信息有效性)不足的问题.
[Abstract]:Taking five ETF fund products in China's ETF fund market as the research object, this paper makes an empirical study on the price discovery of ETF funds in China. Based on Johansen cointegration test and VEC model, it is shown that there is a cointegration relationship among secondary market price, fund net value and tracking index of ETF fund. When the logarithmic price change of ETF fund is used as the explained variable, the coefficient valuation of the error correction term of VEC model of five ETF funds is different. When the short-term fluctuation of ETF fund price deviates from the long-term equilibrium, there is a difference in the adjustment speed from the unbalanced state to the equilibrium state. Based on the information share I 鈮，
本文编号：2481736
[Abstract]:Taking five ETF fund products in China's ETF fund market as the research object, this paper makes an empirical study on the price discovery of ETF funds in China. Based on Johansen cointegration test and VEC model, it is shown that there is a cointegration relationship among secondary market price, fund net value and tracking index of ETF fund. When the logarithmic price change of ETF fund is used as the explained variable, the coefficient valuation of the error correction term of VEC model of five ETF funds is different. When the short-term fluctuation of ETF fund price deviates from the long-term equilibrium, there is a difference in the adjustment speed from the unbalanced state to the equilibrium state. Based on the information share I 鈮，
本文编号：2481736
本文链接：https://www.wllwen.com/guanlilunwen/huobilw/2481736.html
