对上证50交易型开放式指数证券投资基金的实证研究

An Empirical Study on Shanghai 50 ETF

本文在借鉴国内外相关文献的基础上,对上证50交易型开放式指数证券投资基金(上证50ETF)的市场表现进行了实证研究。研究结果表明,上证50ETF在我国运行以来的市场表现是相对稳定的,其收益基本实现了对上证50指数的复制;但两收益率之间也存在跟踪误差,上证50ETF的管理费和股利分配是造成这种跟踪误差的重要原因。其次,对上证50ETF折、溢价水平的定量分析则表明上证50ETF较成功的套利机制保证了其二级市场价格的有效性,并且该价格的变动与上证50ETF的折溢价水平密切相关;但套利和折、溢价水平并不能有力地解释上证50ETF二级市场的交易量。三者虽然密切联系,但后者显然还与其他很多因素有关。

This paper performs an empirical analysis on the return rate of Shanghai 50 ETF. It comes to the conclusion that the performance of Shanghai 50 ETF is quite stable, and its return rate keeps almost the same as that of Shanghai security exchange 50 index. But there is still considerable tracking error between the two variables, mostly due to expenses and dividends of the fund. Furthermore, the paper conducts a quantita- tive analysis on the ETF＇s price deviation, and finds out that the deviation of Shanghai 50 ETF remains within a reasonable range because of ,arbitrage. The paper also examines the determinants of Shanghai 50 ETF＇s trading volume, and points out that though the trading volume is closely related to arbitrage and deviation, it seems to be influenced by many other factors.