中小板ETF的价格发现能力研究

A Study on Price Discovery for the Small and Medium Enterprise Board ETF

使用日内5分钟交易高频数据,通过误差修正模型和方差分解等技术研究中小板ETF与其标的指数间的价格发现,进而探讨信息传递过程。实证结果显示:中小板ETF价格与中小板P指数间存在协整关系,达到了长期均衡;价格发现能力上,中小板P指数领先中小板ETF;中小板P指数受到新信息影响所产生的冲击大于中小板ETF价格所产生的冲击,中小板P指数对预测误差方差的解释能力强于中小板ETF价格,中小板P指数为信息传递的领先指标。我国ETF市场的有效性有待提升。

This paper uses high-frequency exchange data in five minutes of a day and adopts error- correction model and variance decomposition to study the price discovery between the SMEB-ETF （Small and Medium Enterprise Board Exchange Traded Funds） and its benchmark index, and further explores the information transfer process as well. The conclusions show that co-integration relationship exists between the SMEB-ETF and SMEB-PI （Small and Medium Enterprise Board Price Index） and it gets a long-run equilibrium. As to the ability of price discovery, the SMEB-PI is ahead of the SMEB-ETF. The shock of the SMEB-P1 caused by the effects of new information is bigger than that of the SMEB-ETF. The SMEB-PI is better than the SMEB-ETF in explaining the forecasting error variance, and the SMEB-PI is the leading index of information transfer. The effectiveness of ETF market in China remains to be improved.