融资融券背景下上证50ETF价格发现功能实证分析

发布时间：2018-03-08 03:11

本文选题：融资融券　切入点：上证50ETF　出处：《兰州大学》2013年硕士论文　论文类型：学位论文

【摘要】：本文在总结及借鉴国内外关于交易所交易基金(ETF)价格发现功能研究文献的基础上,吸取事件研究法的基本思想,以我国最早上市的上证50交易型开放式指数基金(上证50ETF)为研究对象,利用时间序列变量的理论体系,通过向量误差修正模型、格兰杰因果检验、脉冲响应函数和方差分解等模型对其在融资融券交易制度背景下的价格发现功能进行了实证分析,即实证检验了上证50ETF被纳入融资融券标的前后两个阶段中,交易价格与其标的指数上证50指数价格之间的领滞关系。具体来说：本文第一部分绪论中介绍了研究背景、文献综述及研究思路和方法等；第二部分主要介绍了相关的基本理论；第三部分将所选择的研究方法进行理论说明；第四部分作为本文的核心,主要对上证50ETF纳入融资融券标的前后两阶段的价格发现功能进行了实证检验和对比分析。结论发现,两个阶段内上证50ETF价格均领先于上证50指数价格,但是经过对比后得出,纳入融资融券标的后上证50ETF的价格发现功能并没有得到增强。第五部分简要对实证结论进行了分析,并在此基础上提出政策建议。本文数据主要来自上海证券交易所、Wind资讯及华夏基金管理有限公司网站,实证分析选用软件使用Eviews6.0.
[Abstract]:On the basis of summing up and drawing lessons from domestic and foreign literatures on the function of ETF price discovery, this paper absorbs the basic idea of event research method. Taking the Shanghai Stock Exchange 50 open end index fund (50 ETF), which was the earliest listed in China, as the research object, using the theory system of time series variables, using vector error correction model, Granger causality test. The impulse response function and variance decomposition are used to analyze the price discovery function in the context of margin trading system. The relationship between the transaction price and the price of the Shanghai Stock Exchange 50 index. Specifically, the first part of this paper introduces the research background, literature review, research ideas and methods; The second part mainly introduces the relevant basic theory; the third part will choose the research method to carry on the theory explanation; the 4th part is the core of this article, This paper makes an empirical test and comparative analysis on the price discovery function of Shanghai 50 ETF before and after it is included in margin trading. The conclusion is that the price of Shanghai 50 ETF is higher than that of Shanghai 50 index in the two stages, but after comparison, it is concluded that the price of Shanghai 50 ETF is higher than that of Shanghai 50 index. The price discovery function of SSE 50ETF has not been enhanced after the inclusion of margin margin. Part 5th briefly analyzes the empirical conclusions and puts forward some policy recommendations on this basis. The data of this paper are mainly from the website of Wind Information & Huaxia Fund Management Co., Ltd., Shanghai Stock Exchange.
【学位授予单位】：兰州大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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