我国交易所交易基金的折溢价行为及波动性

摘要/Abstract

摘要：

对我国交易所交易基金的折溢价行为和波动性进行了理论和实证两方面的研究.建立了二阶段情形下的交易价值理论模型，同时应用该模型对我国交易所交易基金的折溢价行为和波动性进行了理论分析.理论模型推测得到，相对于西方成熟市场，我国的交易所交易基金更容易产生折价交易，且交易所交易基金的波动性高于其净值的波动性.应用2005年2月到2012年12月期间我国上市最早的5只交易所交易基金的日数据，对交易所交易基金的折溢价和波动性进行了实证研究，实证结果为理论提供了支持.

关键词: 交易所交易基金, 折溢价, 波动性, 异质信念, 卖空限制

Abstract:

The discount behavior and volatility on exchange-traded funds (ETFs) trading in Chinese markets were investigated from both theoretical and empirical perspectives. A theoretical model with heterogeneous beliefs and short-sale constraints was established to explain discounts on ETFs and their volatilities. The theoretical model conjures that ETFs in Chinese markets are more likely to trade at a discount relative to western developed markets and the volatility of an ETF is greater than that of its NAV. In addition, empirical results based on daily data from February, 2005 to December, 2012 validates the theory proposed.

Key words: exchangetraded funds, discount, volatility, heterogeneous beliefs, short-sale constraints

中图分类号:

F 830.91

曹志广. 我国交易所交易基金的折溢价行为及波动性[J]. 上海交通大学学报（自然版）, 2014, 48(02): 282-289.

CAO Zhiguang. Premiums and Discounts on ETFs and Their Volatilities in Chinese Markets[J]. Journal of Shanghai Jiaotong University, 2014, 48(02): 282-289.

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