中国ETF基金交易量与价格之间的波动溢出效应被引量：12

A study on the spillover effect between price and volume of the Chinese ETF fund

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摘要检验了中国ETF基金的交易量和价格之间基于信息的关联关系,据此对它们之间的波动溢出效应问题进行了探讨.研究表明:中国ETF基金的交易量和价格受当期可预期与不可预期信息冲击的影响不同,而且它们受利坏和利好消息冲击的影响也存在非对称性,ETF基金的交易量和价格之间存在基于信息的关联关系.中国ETF基金的交易量和价格之间的波动溢出效应非常显著,ETF基金交易量的波动一定会影响到价格未来的波动,而ETF基金价格的波动也一定会影响到交易量未来的波动,ETF基金的交易量和价格均为信息冲击的共同函数.中国ETF基金的价格形成机制设计,尤其是ETF基金价格紧密跟踪标的指数是它存在价格向交易量方向波动溢出效应的主要原因. The paper checks the relationship between the price and trading volume of the Chinese ETF fund, and discusses the overflow effect between them. It has demonstrated that price and trading volumesuffered different impact from expected and unexpected information, and asymmetry characteristics are obvious from good and bad news. Effect of overflowing between trading volume and price is very prominent, the fluctuation of the trading volume of ETF fund is sure to influence the future fluctuation of price, and vice versa, they are the common function of information impulsion, the mechanism of ETF trading, and the price of ETF tracing index closely, is the cause of the volatility from price to trading volume for the Chinese ETF fund.

作者王良冯涛

机构地区西安交通大学经济与金融学院应用经济学博士后流动站

出处《系统工程理论与实践》 EI CSSCI CSCD 北大核心 2011年第11期2043-2051,共9页 Systems Engineering-Theory & Practice

基金中国博士后科学基金(20080441172) 国家自然科学基金(71171155)

关键词基金交易量价格溢出 fund volume price spillover

分类号 F270 [经济管理—企业管理]

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