50ETF对其成份股波动性影响的实证研究

Empirical Study on Impact of SHSE 50 ETF on Component Stocks

本文探讨了50ETF对上证50指数成份股的波动影响情况。本文使用Andersenetal.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。

This paper studies on impact of SHSE 50 ETF on the volatility of the component stocks by using Andersen et al. method and GARCH module to evaluate the volatility of SHSE 50 ETF component stocks. Empirical study reveals that establishment of 50 ETF substantially enhanced the volatility of the component stocks. The impact of an ETF on volatility of stocks of various sizes is not obviously different, but marked impact is imposed on volatility of stocks of various sectors. The author believes that price movement of an ETF reflects market sentiment and may affect asset allocation, and even the volatility of the component stock price.