套利机制对ETF基金赎回的影响

ETF即交易型开放式指数基金(Exchange Traded Funds).它是以被动的方式管理、同时又可在交易所挂牌交易的开放式基金.对ETF基金份额,投资者可以像封闭式基金一样在交易所二级市场进行方便的交易.另外,它又可以像开放式基金一样申购、赎回.不同的是,它的申购是用一揽子股票换取ETF份额,赎回时也是换回一揽子股票而不是现金.     

Relative Liquidity,Fund Flows and Short‐Term Demand: Evidence from Exchange‐Traded Funds

We show that highly liquid Exchange‐Traded Funds (ETFs), especially those that are more liquid than their underlying basket of securities (i.e., positive relative liquidity), are particularly attractive to investors. Using three definitions of liquidity, we find that relative liquidity predicts net fund flows, as well as inflows and outflows positively and significantly. We further document a liquidity clientele among institutional investors: (i) relative liquidity is significantly more important for short‐ than for long‐term investors; and (ii) relative liquidity is inversely related to investors’ average holding duration in the ETFs. These two findings provide evidence that relative liquidity encourages short‐term demand.     

ETF Premiums and Liquidity Segmentation

Exchange traded funds (ETFs) provide a means for investors to access assets indirectly that may be accessible at a high cost otherwise. I show that liquidity segmentation can explain the tendency for ETFs to trade at a premium to net asset value (NAV) as well as the life‐cycle pattern in premiums. ETFs with larger NAV tracking error standard deviations (TESDs) tend to trade at higher premiums and the liquidity benefits offered by foreign ETFs and fixed income ETFs are revealed to be the most valuable to investors. Further tests validate that TESD has the desirable properties of a liquidity segmentation measure.     

The Effect of the Alternation in the Ruling Party on Three-Factor Risks and Returns in ETF: The Case of Presidential Elections in Taiwan

This study discusses the effect of alternation in the ruling party in presidential elections on three-factor risks and returns of the three main exchange-traded funds (ETFs) in Taiwan, which has an unclearly defined international status and whose citizens have the right to vote directly for the president. We find that after the ruling party has been determined, in the period between Election Day and inauguration day, both the stock market and ETFs show a slight rise in prices. This suggests that most investors are initially optimistic after the election results have been announced. Meanwhile, the reverse book-to-market risk value deteriorates significantly. These results indicate that political uncertainty increases the risk premium of market factors and reverse book-to-market factors for some ETFs.     

我国推出ETF的可行性分析

本文分析了我国推出ETF的可行性。由于ETF具有双重交易机制 ,降低了资源配置成本以及与标的指数之间回报率的高度拟合等优势 ,因此ETF是指数基金的优选。我国证券市场具备了规模性、规范性和流动性 ,并具备了市场主体 ,为推出ETF奠定了基础。对于存在的障碍 ,必须制定相关的法律法规 ;建立统一的ETF登记结算平台 ;推出适当的指数体系等。     

沪深300ETF 拟合效果的比较研究--基于华泰柏瑞沪深和嘉实沪深300ETF

文章比较分析了沪深300股指期货套期保值所采用的几种现货工具：上证180ETF 或上证50ETF 和深证100ETF 构建的 ETF 组合、华泰柏瑞沪深300ETF、嘉实沪深300ETF,实证检验了两只沪深300ETF 以及 ETF 组合对沪深300股指期货的拟合效果的差异,为现货工具的选择给出建议,并为后续对沪深300ETF 的套期保值的研究做出铺垫。     

The dynamic connectedness and hedging opportunities of implied and realized volatility: Evidence from clean energy ETFs

This paper aims to examine dynamic connectedness and hedging opportunities between the realized volatilities of clean energy ETFs and energy implied volatilities through Time-Varying Parameter Vector Autoregression Model (TVP-VAR) and Asymmetric Dynamic Conditional Correlation (ADCC) GARCH models. TVP-VAR analysis results show that dynamic connectedness increases during turbulence periods. We also determine that clean energy ETFs such as PBW, QCLN, SMOG, and TAN are net volatility transmitters. Surprisingly, OVX is a net volatility receiver, especially with the developments after the Paris Agreement in 2016.As a result of the ADCC GARCH analysis, we determine that the conditional correlation between clean energy ETFs and implied volatility ETFs is asymmetric, and negative information shocks increase the conditional correlation. Although OVX is a cheap alternative for hedging long position risks in clean energy ETFs, VXXLE is more effective than OVX in terms of hedging effectiveness. These findings provide insight for individual and institutional investors, and portfolio managers on how negative and positive shocks change the conditional correlation between assets at different levels.     

我国首支ETF投资价值分析

本文通过设计虚拟价格解决了基金业绩数据缺乏的问题,这样我们比较了ETF50与其他类型基金的绩效,结果显示由于受整个股市低迷的影响,ETF50的实际业绩却并不如想象中的那样好。     

股票停牌、涨跌停与ETF定价效率——基于上证50ETF日度数据的实证研究

本文应用中国股市2007年至2011年的数据,研究了上证50ETF市场价格和基金净值的相关关系,以及折溢价水平及其影响因素。基于ETF的申购赎回和交易机制,在成分股涨跌停板和停牌期间,由于ETF二级市场价格具有价格发现功能,ETF市场价格可能较大偏离(形式上的)ETF净值,造成ETF的异常折溢价,而此类异常折溢价并不是真正的套利机会。另外,上证50ETF的市场价格与基金净值存在显著同步变动的关系;在涨跌停板和停牌期间之外,上证50ETF的折溢价水平低于套利所需的交易成本。本文研究表明,上证50ETF具有较高的定价效率。