上证50ETF及其对证券市场的影响

Research on the Influence of SSEI50 ETF on Sec-urity Market

本文讨论了上证50ETF在我国证券市场的运作状况和对市场的影响。ETF是交易所交易基金 的简称,作为上世纪90年代以来金融市场的创新,其在国际市场上发展迅速。2005年2月23日,我国证券 市场上第一个ETF产品正式上市交易,本文介绍了这一产品的基本情况和交易状况,并从折溢价水平、跟踪 偏离度等方面分析了上证50ETF的运作质量,并通过研究其对市场指数的引导作用以及相关股票的流动性 变化分析这一产品对证券市场的影响。论文最后总结了上证ETF存在的不足,并分析其原因。

The paper discussed the operating quality and influences of SSEI50 ETF. Exchange traded fund （ETF） is a new variety of mutual fund that have grown rapidly in financial market. SSEI50 ETF, 1st ETF in China, begun to trade on Feb. 23, 2005. The article introduced this financial instrument, analysis its operating quality from market premium/discount and tracking error degree, research on its influences on market from correlation analysis. The author find that there are still some problems with SSEI 50 ETF due to timing and transaction mechanisms.