摘要
本文旨在探讨交易型开放式指数基金(Exchange Traded Fund,简称ETF)这种成熟金融产品在我国证券市场现行制度框架下推广应用的可行性。作者以ETF产品设计中的几个技术要点为切入口,对该产品的设计原理和运作机制进行了剖析,在此基础上提出了在我国现有法律制度和技术环境下,充分发挥现有技术系统特点,实现该产品内在功能,特别是其瞬时套利要求的解决方案。
This paper studies how China's first ETF product might work under the constraints of the current laws and regulations, especially the prohibition of short selling and 'T + O' trading. By exploring several main topics on the design of ETF, the author finds that an alternative arbitrage mechanism, different from the classic model but almost e-qually effective, can be achieved through a highly efficient creation/redemption process facilitated by Shanghai market' s unique technological systems. In other words, an arbitrageur will buy ETFs, swap them for the underlying basket of constituent stocks and sell the basket in an extremely short period of time on the exchange cash market. In the process, neither short selling nor T+O trading will occur.
出处
《金融研究》
CSSCI
北大核心
2005年第2期94-105,共12页
Journal of Financial Research