Revisiting the roles of gold: Does gold ETF matter?

This study investigates whether the role of gold changes due to the introduction of gold exchange-traded funds (ETFs) using sample data of seven countries in which physically-backed gold ETFs have been issued. The results show that the traditional roles of gold do change after the introduction of gold ETFs, particularly in the corresponding stock markets. The functions of hedge and safe haven provided by gold wear off during the post-ETF period in stock markets. In currency markets, however, gold still serves as a hedge and safe haven asset, and such effects become stronger during the post-ETF period. Moreover, gold ETFs play a role of relative strong safe haven than the physical gold does while the leading (lagged) stock returns extremely decline. Like the purposes of using physical gold assets, gold ETFs also provide hedge and safe haven effects to the exchange rate risks. Therefore, we might confirm that physical gold could be largely replaced by gold ETFs and investors could utilize gold ETFs to avoid potential risks in financial markets.     

全球ETF市场繁荣背后的系统性隐忧辨析

交易所交易基金(ETF)市场规模不断膨胀,产品结构日趋复杂和不透明,参与者关系越发相互关联,已经模糊了原有的传统业务认识,对金融市场稳定的潜在系统性影响受到更多监管关注,包括交易冲击影响,合成结构下的互换交易对手方风险及抵押品风险,融券交易的累加风险,杠杆风险,以及透支原有产品认识等。对境内ETF市场来说,目前还不存在滋生隐患的土壤,主要任务还是适度借鉴创新,不断提高风控水平,推动市场健康稳定发展。     

交易所交易基金(ETF)在我国的前景分析

交易所交易基金(ETF)是近年来发展非常迅速的一种金融产品,由于它结合了开放式基金和封闭式基金的特点,并且具有独特的双重交易机制,因此,它与传统的指数基金相比有着更多的创新和优势.可以预见这种产品将来会在我国的资本市场上有所发展.     

从仿真交易看沪深300指数期货的期现套利

在考虑了交易成本、指数期货保证金水平以及跟踪误差等因素后，本文给出了沪深300指数期货无套利区间。选择ETF组合作为沪深300指数现货的替代，根据日均跟踪误差最小化原则确定各ETF比重。利用中金所仿真交易数据，我们发现，各仿真合约的错误定价率平均都在8％以上，但在7月份以后显著下降；已到期合约IF0707的平均月化套利收益率为9％，三个未到期合约同样存在可观的套利收益。本文通过分析沪深300指数期货的期现套利，以期为期货交易的政策制定者和投资者提供科学的可操作的参考意见。     

试论我国发展ETF的必要性与可行性

目前,我国证券的弱有效性是影响指数基金长期发展的重要因素。股票市场缺乏信息完全、分布均匀和时效性,造成指数化投资很难被投资者所接受。从可行性分析,我国已具备了引入ETF的市场主体,已发展了具有市场影响力的指数、股票登记、投资管理能力以及良好的流动性。引入ETF可促进我国证券市场的结构完整,能够改善证券市场投资者结构,活跃ETF标的指数成份股的交易。大力发展ETF,不但是必要与可行的,而且能使指数基金在我国获得长期性、可持续性发展。     

上证50ETF的跟踪误差实证研究

本文基于上证50ETF2005—2007年的日交易数据集从实证角度计量其对目标指数即上证50指数的跟踪误差变化及波动特征，并深入探讨跟踪误差变化及波动的成因，进而对我国交易所交易基金产品（ETF）及未来的指数产品设计和市场制度安排提出建议。     

Optimal static quadratic hedging

We propose a flexible framework for hedging a contingent claim by holding static positions in vanilla European calls, puts, bonds and forwards. A model-free expression is derived for the optimal static hedging strategy that minimizes the expected squared hedging error subject to a cost constraint. The optimal hedge involves computing a number of expectations that reflect the dependence among the contingent claim and the hedging assets. We provide a general method for approximating these expectations analytically in a general Markov diffusion market. To illustrate the versatility of our approach, we present several numerical examples, including hedging path-dependent options and options written on a correlated asset.     

Expected shortfall assessment in commodity (L)ETF portfolios with semi-nonparametric specifications

ABSTRACT

This paper studies the risk assessment of semi-nonparametric (SNP) distributions for leveraged exchange trade funds, (L)ETFs. We applied the SNP model with dynamic conditional correlations (DCC) and EGARCH innovations, and implement recent techniques to backtest Expected Shortfall (ES) to portfolios formed by bivariate combinations of major (L)ETFs on metal (Gold and Silver) and energy (Oil and Gas) commodities. Results support that multivariate SNP-DCC model outperforms the Gaussian-DCC and provides accurate risk measures for commodity (L)ETFs.     

基于GARCH-VaR模型的ETF基金市场风险的实证分析

ETF基金是我国少有的金融创新产品之一,然而在近年来急涨骤跌的股市中,ETF面临着很大的市场风险,但国内尚缺乏关于ETF基金市场风险的定性研究。同时在此次全球金融危机中,如何加强金融工具的风险管理已成为当务之急。因此,本文以我国上市最早的50E3T为研究对象,在正态分布、t分布与GED分布3种情况下,建立了GARCH族模型计算动态方差,研究了ETF基金的收益风险补偿问题与非对称信息冲击问题,接着用方差——协方差方法求出VaR值,在3种置信水平下通过与实际收益率的比较来度量市场风险,然后对VaR值的准确性进行检验,最后分析得出最适合估计ETF市场风险的模型。     

对上证50交易型开放式指数证券投资基金的实证研究

本文在借鉴国内外相关文献的基础上,对上证50交易型开放式指数证券投资基金(上证50ETF)的市场表现进行了实证研究。研究结果表明,上证50ETF在我国运行以来的市场表现是相对稳定的,其收益基本实现了对上证50指数的复制;但两收益率之间也存在跟踪误差,上证50ETF的管理费和股利分配是造成这种跟踪误差的重要原因。其次,对上证50ETF折、溢价水平的定量分析则表明上证50ETF较成功的套利机制保证了其二级市场价格的有效性,并且该价格的变动与上证50ETF的折溢价水平密切相关;但套利和折、溢价水平并不能有力地解释上证50ETF二级市场的交易量。三者虽然密切联系,但后者显然还与其他很多因素有关。