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上证50ETF的跟踪误差分析及成因解析 被引量：3

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摘要 本文以上证50ETF作为研究对象,选取2005-2007年的日收盘数据构建数据样本,从实证的角度计量上证50ETF对其目标指数即上证50指数的跟踪误差变化及波动特征,并深入探讨造成跟踪误差变化和波动的主要成因,进而对未来我国交易所交易基金(ETF)以及指数型投资基金的产品设计、运作机制以及和相关的制度安排提出建议。
作者 陈远志 苏海峰
机构地区 华南理工大学
出处 《工业技术经济》 北大核心 2007年第10期149-152,共4页 Journal of Industrial Technological Economics
基金 广东省自然科学基金博士启动项目(项目编号:06300129) 华南理工大学人文社科基金资助项目(项目编号:N7050550)
关键词 上证50ETF 交易所交易基金 跟踪误差
分类号 F890.91 [经济管理]
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参考文献16

  • 1Chu, Quentin C., Wen-hang Gordon Hsieh, and Yiuman Tse. Price discovery on the S&P 500 index markets: An analysis of spot index, index futures and SPDRs [ J]. International Review of Financial Analysis, 2002, (8): 21 - 34
  • 2Hasbrouck, Joel. Intraday price formation in the market for U.S. equity indexes [J]. Journal of Finance, SSRN working paper version, 2003
  • 3Yu, L. Basket securities, trice formation, and informational efficiency [J]. New York University working paper, 2003
  • 4Ackert, L. F.and Y. S. Tian. Efficiency in Index Optics Markets and Trading in Stock Baskets [ J ]. Journal of Banking and Finance, 2001, (25) : 1607-1634
  • 5Boehmar , Ekkehart , and Beatrice Boehmer. Trading your neighbor's ETFs: competition of fragmentation? [J] Jour nal of Banking and Finance, SSRN working paper version, 2003
  • 6Erenburg, Grigori, and Yiuman Tse. Competition for order flow, market quality, and price discovery in the Nasdaq-100 Index Tracking Stock [J]. University of Texas working paper, 2002
  • 7Park, Switzer. Index Participation Units and the Performanee of Index futures Markets: Evidence From the Toronto 35 Index Participation Units Market [J]. Journal of futures markets, 1995, (15): 187-200
  • 8Switzer, L. Standard and Poor's Depository receipts and the Performance of the S&P500 Index Futures Market [J]. Journal of Futures Markets , 2000, (20): 705-716
  • 9Lu, Marsden. NZSE-10 Index Fund Units and the Market Efficiency of the Index Futures: Evidence from the New Zealand Market [ J]. Presented for the 7th Annual Conference of APFA, 2000, shanghai
  • 10Kurov, A.A.and D.J.Lasser . The Effect of the Introduction of Cube on the.Nasdaq-100 Index Spot-Futures Pricing Relationship [ J]. Journal of Futures Markets, 2002, ( 3 ) : 197 - 218

二级参考文献37

  • 1Black F. Noise[J]. Journal of Finance,1986, 7:41 -43.
  • 2Shleifer A, Summers L H. The noise trader approach to finance[J]. Journal of Economic Perspective, 1990, 4(2): 19 -33.
  • 3Wiesenberger. Enhanced Index Funds or in Need of Enhancement. http:∥www. ifa. com/archives/articles/spence_john_20001221_enhanced_indexing.asp, 2000 -12 -21.
  • 4Elton E J,Gruber M J,Busse J A. Are investors rational? Choices among Index Funds [ J ]. Journal of Finance,2004, 59(1): 261 -288.
  • 5Frino A, Gallagher D, Oetomo T. Index design and implications for index tracking: Evidence from S&P 500 Index Funds [ J ]. Journal of Portfolio Management, 2004,30: 89 - 96.
  • 6曹朝龙 李孟滔.国内指数基金运作绩效研究[R].,2004-12-15..
  • 7上海交通大学证券金融研究所课题组.ETF对上证180指数流动性的影响[N].证券日报,2004-2-26.
  • 8Wahab, Mahmoud, and Malek Lashgari, 1993, Price dynamics and error correction in stock index and stock index futures markets: A cointegration approach,Journal of Futures Markets 13, 711-742.
  • 9Yu, L., 2003, Basket securities,price formation, and informational efficiency, Working paper, New York University.
  • 10孙毓徽.[D].淡江大学财务金融系,2003.

共引文献26

同被引文献38

引证文献3

二级引证文献13

工业技术经济
2007年 第10期

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