中国交易型开放式指数基金流动性研究

发布时间：2018-03-07 07:36

本文选题：交易型开放式指数基金　切入点：流动性　出处：《哈尔滨工业大学》2014年硕士论文　论文类型：学位论文

【摘要】：交易型开放式指数基金(ETF)被誉为当代金融市场最伟大的发明之一。作为充满竞争力的新型投资媒介,ETF为投资者进入指数市场提供了新的选择。虽然ETF在我国证券市场中的地位正在逐渐提升,但针对其流动性的研究还不够丰富。学界多将研究焦点集中在ETF产品表现及其对标的指数的作用上。因此,为了解决ETF这一新兴市场中的诸多问题,研究其流动性就显得尤为重要。流动性是度量证券市场质量的有效工具。我国ETF产品流动性水平各异,而流动性对投资者产品选择的影响越来越显著,已经逐渐成为衡量ETF市场发展水平的有效指标。为了促进ETF市场交易活跃,吸引更多投资者进入并维护健康的市场运转,提升ETF产品流动性水平成为必经之路。目前我国学者对于ETF市场的研究分析尚处于初级阶段,缺乏实证模型的有力支撑。本文结合国外市场的研究经验,利用面板数据回归模型,以国内六十只股票型ETF为研究对象,对ETF流动性影响因素进行多元回归分析,并在此基础上构建面板向量自回归模型(Panel-VAR模型),使用方差分解及脉冲响应函数方法,对ETF流动性与其标的指数流动性之间的联动关系进行深入考查。研究发现,影响ETF流动性的因素包括产品自身特征、指数特征及投资者特征三个方面,即基金规模、净值增长率、同标的竞争、指数市值、指数收益率、机构投资者持有比例等。实证结果揭示了ETF流动性根本上与其标的指数和基金公司运营能力紧密相关。与此同时,本文对机构投资者的投资理念进行了探讨,发现我国机构投资者仍以短线炒作为主,造成机构持有比例越高的ETF产品流动性越低。通过PVAR模型分析ETF与标的指数间联动关系发现,ETF流动性具备高度自相关特征,其惯性可以引导、预测未来流动性水平。标的指数对ETF流动性的传导主要在日内期间,影响力远低于ETF自身。脉冲响应图像显示,指数市场对ETF市场流动性溢出存在一期缓冲时间,是风险控制的宝贵契机。长期来看,两市场间流动性传导出现阻隔,相关性并不显著。文章最后针对实证模型结果进行了分析,同时据此向投资者、运营者及监管者提出若干有效建议。
[Abstract]:ETFs are regarded as one of the greatest inventions of the modern financial market. As a new competitive investment medium, ETFs provide a new choice for investors to enter the index market. Although ETF in China's securities market. The position of the market is gradually rising. However, the research on its liquidity is not rich enough. Scholars focus on the performance of ETF products and their effect on the target index. Therefore, in order to solve many problems in the emerging market of ETF, It is very important to study its liquidity. Liquidity is an effective tool to measure the quality of securities market. The liquidity level of ETF products is different in China, and the influence of liquidity on investors' choice of products is more and more obvious. It has gradually become an effective indicator to measure the level of ETF market development. In order to promote the active trading of the ETF market and attract more investors to enter and maintain a healthy market operation, It is necessary to improve the level of ETF product liquidity. At present, the research and analysis of ETF market by Chinese scholars is still in the initial stage, which lacks the strong support of empirical model. By using panel data regression model and taking 60 domestic stock ETF as the research object, the influencing factors of ETF liquidity were analyzed by multivariate regression analysis. On this basis, the panel vector autoregressive model and Panel-VAR model are constructed. The linkage between ETF liquidity and its target index liquidity is investigated by using variance decomposition and impulse response function. The factors influencing the liquidity of ETF include the characteristics of the product itself, the index characteristics and the investor characteristics, that is, the size of the fund, the growth rate of net worth, the competition of the same standard, the index market value, the return rate of the index. The empirical results show that the liquidity of ETF is closely related to the underlying index and the operating ability of fund companies. At the same time, this paper discusses the investment concept of institutional investors. It is found that institutional investors in our country still focus on short-term speculation, which results in the lower liquidity of ETF products with higher institutional holding ratio. By analyzing the linkage relationship between ETF and the underlying index by PVAR model, it is found that the liquidity of ETF is highly autocorrelation. Its inertia can guide and predict the level of future liquidity. The conduction of target index to ETF liquidity is mainly during the intraday period, and its influence is much lower than that of ETF itself. Index market has a buffer time to ETF market liquidity spillover, which is a valuable opportunity for risk control. In the long run, liquidity conduction between two markets is blocked. The correlation is not significant. Finally, the paper analyzes the results of empirical model and puts forward some effective suggestions to investors, operators and regulators.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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