Where does return and volatility come from? The case of Asian ETFs

We analyze return and volatility of Asian iShares traded in the U.S. The difference in trading schedules between the U.S. and Asia offers a unique market setting that allows us to distinguish various return and volatility sources. We find Asian ETFs have higher overnight volatility than daytime volatility, explained by public information released during each local market's trading session. Local Asian markets also play an important role in determining each Asian ETF return. Nonetheless, returns for these funds are highly correlated with U.S. markets, indicative of the effects of investor sentiment and location of trade. Finally, returns in the U.S. market Granger-cause returns in all six Asian markets are analyzed.     

上证50ETF具有价格发现功能吗?

价格发现功能是ETF市场的一个基本功能，上证50ETF是否具备价格发现功能是衡量ETF推出是否成功的一个重要指标。本文采用多资产方差分解法分析50ETF交易的信息含量，从交易价格和交易量对50ETF的价格发现功能进行检验。实证结果显示，我国ETF具有一定的价格发现功能，但与西方成熟资本市场相比仍存在一定差距。由于价格发现功能与市场特定微观结构紧密，为此论文从市场微观结构角度，应用交易成本假说、交易限制假说、市场信息假说对50ETF的价格发现功能进行了深入剖析。     

我国ETF发展初探

本文简要介绍了ETF的定义与特征及其在我国的发展情况,包括其在我国产生的背景条件、现状与存在问题及其在我国的发展前景.     

50ETF与标的成份股的价格形成过程分析

本文采用多资产方差分解法分析50ETF与标的成份股的价格形成过程.结果表明,与西方成熟资本市场相比,50ETF在标的成份股的价格形成过程中贡献并不大.由于价格形成过程与市场微观结构紧密联系在一起,因此本文从这一角度来进行解释,从而为推动我国ETF市场的发展提供参考.     

50ETF对其成份股波动性影响的实证研究

本文探讨了50ETF对上证50指数成份股的波动影响情况。本文使Andersen et al．方法和GARCH模型的无条件方差测度上证50指数成份股的波动性变化，实证结果显示，ETF的设立显著提高了上证50成份股的波动性；ETF对不同市值规模股票的波动性影响不存在显著差异，但对不同行业的波动性影响存在明显差异。本文认为ETF价格变化可以反映市场信息以及改变投资者的资产配置，进而影响其对应成份股价格的波动性变化。     

New Revolution in Fund Management: ETF/Index Design by Machines

ABSTRACT

Two ETFs were listed to track the secondary-battery industry on 12 September 2018 in the Korea Stock Exchange market. They are virtually identical except that one is designed by humans while the other is made by machines. This paper compares the two ETFs and find little difference in their investment strategies except that machines are more likely to pick high book-to-market stocks than humans. Machines are also more likely to pick past losers and outperform human-designed ETF afterwards. The results suggest that machines can do equally good as humans as ETF/index designers.     

ETF产品组合与股指期货的复合期现套利机制研究

2010年4月16日股指期货上市交易,中国进入了金融期货时代。鉴于目前我国还没有推出沪深300ETF,针对股指期货的套利交易不能找到直接对应的现货。本文建造ETF组合最大限度地拟合沪深300期指现货,找到利用ETF组合和股指期货的最佳复合期现套利机制。     

套期保值定期动态调整策略的状态空间模型研究——基于沪深300股指期货对50ETF套期保值的实证

套期保值率的计算影响到套期保值效果,利用变参数状态空间模型及相关的动态调整策略,基于沪深300股指期货对50ETF做套期保值操作,研究结果证明:状态空间模型更能体现动态估计的特点,沪深300股指期货对50ETF有很好的套保效果;对于分散程度较高的上证50ETF应采用定期动态调整策略。     

Using implied volatility jumps for realized volatility forecasting: Evidence from the Chinese market

This study examines the Chinese implied volatility index (iVIX) to determine whether jump information from the index is useful for volatility forecasting of the Shanghai Stock Exchange 50ETF. Specifically, we consider the jump sizes and intensities of the 50ETF and iVIX as well as cojumps. The findings show that both the jump size and intensity of the 50ETF can improve the forecasting accuracy of the 50ETF volatility. Moreover, we find that the jump size and intensity of the iVIX provide no significant predictive ability in any forecasting horizon. The cojump intensity of the 50ETF and iVIX is a powerful predictor for volatility forecasting of the 50ETF in all forecasting horizons, and the cojump size is helpful for forecasting in short forecasting horizon. In addition, for a one-day forecasting horizon, the iVIX jump size in the cojump is more predictive of future volatility than that of the 50ETF when simultaneous jumps occur. Our empirical results are robust and consistent. This work provides new insights into predicting asset volatility with greater accuracy.     

Is the nonlinear hedge of options more effective?—Evidence from the SSE 50 ETF options in China

The linear hedging of the options ignores the characteristic of the nonlinear change of option prices with the underlying asset. This paper establishes the nonlinear hedging strategy followed the study by Hull and White (2017) to investigate the effectiveness on the Shanghai Stock Exchange (SSE) 50 ETF options. The results show that the nonlinear hedge of the Chinese option market is less effective than the U.S option market because of the short history and the lower activity of the Chinese option market. The effect of nonlinear hedging strategy is better than the linear hedging strategy for calls in China. But for puts, the effect of the nonlinear hedging strategy is not as significant as it for calls. The difference in the trading volume between calls and puts and the high short-selling cost in the Chinese market are the main factors leading to the difference in hedge effectiveness. This paper suggests that the stock exchange could reduce margin standard of 50 ETF securities lending, promote a more flexible shorting mechanism, and accelerate the process of index options listed, so as to achieve hedging the risk of options more directly and efficiently.