【摘要】：以中國ETF基金市場的五只ETF基金產(chǎn)品為研究對象,對中國ETF基金的價格發(fā)現(xiàn)問題進行了實證研究.基于Johansen協(xié)整檢驗方法及VEC模型,研究表明ETF基金二級市場價格、基金凈值、跟蹤指數(shù)之間存在協(xié)整關(guān)系.當(dāng)以ETF基金對數(shù)價格變化作為被解釋變量時,五只ETF基金VEC模型誤差修正項的系數(shù)估值存在差異.當(dāng)ETF基金價格的短期波動偏離長期均衡時,從非均衡狀態(tài)回歸到均衡狀態(tài)的調(diào)整速度存在差別.基于信息份額I-S模型和永久短暫P-T模型,發(fā)現(xiàn)五只ETF基金的二級市場價格、基金凈值、跟蹤指數(shù)在價格發(fā)現(xiàn)過程中的信息份額貢獻比例并沒有表現(xiàn)出一致性,ETF基金凈值在價格發(fā)現(xiàn)過程中信息份額貢獻相對較大,ETF基金凈值在中國ETF基金價格發(fā)現(xiàn)過程中具有較強的主導(dǎo)作用.中國ETF基金全部為指數(shù)基金,緊密跟蹤指數(shù)是五只ETF基金的最基本投資策略,實證研究發(fā)現(xiàn)除上證紅利ETF基金SH510880、中小板ETF基金SZ159902外,其余三只ETF基金并未表現(xiàn)出跟蹤指數(shù)為先行指標(biāo)的特征,其跟蹤指數(shù)在價格發(fā)現(xiàn)過程中信息份額貢獻并非最大,因此中國ETF基金市場的價格發(fā)現(xiàn)過程存在著信息效率(信息有效性)不足的問題.
[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，

本文編號：2481736