股票停牌、涨跌停与ETF定价效率——基于上证50ETF日度数据的实证研究

Stock Suspension,Price Limits and ETF Pricing EiEciency—An Empirical Research on SSE 50ETF

本文应用中国股市2007年至2011年的数据,研究了上证50ETF市场价格和基金净值的相关关系,以及折溢价水平及其影响因素。基于ETF的申购赎回和交易机制,在成分股涨跌停板和停牌期间,由于ETF二级市场价格具有价格发现功能,ETF市场价格可能较大偏离(形式上的)ETF净值,造成ETF的异常折溢价,而此类异常折溢价并不是真正的套利机会。另外,上证50ETF的市场价格与基金净值存在显著同步变动的关系;在涨跌停板和停牌期间之外,上证50ETF的折溢价水平低于套利所需的交易成本。本文研究表明,上证50ETF具有较高的定价效率。

Using the data of China＇s stock market from 2007 to 2011 this paper studies the correlation between Shanghai 50ETF market prices and its NAV, and the influencing factors of the ETF price discount （ or premi- um） level. We find that during the period of price limits and stock suspension, due to ETF market price with the price discovery function, the ETF market price may deviate from the ETF NAV. Such abnormal discount or premium is not true arbitrage opportunities. We also find that ETF market price and NAV have significantly synchronic change. Except during price limits and the suspension period, the ETF discount or premium is lower than the transaction costs required for arbitrage. This study shows that Shanghai 50ETF market has higher pri- cing efficiency.