交易所交易基金与成份股市场波动溢出研究

Volatility Spillover Effect of Exchanged-Traded Funds and Component Stocks

指数化交易和套利行为是否影响到股票市场的稳定性,一直是个焦点问题。基于ETF套利行为,利用VAR模型构造波动率溢出指数,探讨我国ETF与成份股的波动溢出效应。结果表明:ETF交易对成份股存在显著的波动溢出效应,且溢出指数波动较为剧烈;ETF与成份股双向的波动溢出在时间上具有较强的持续性,市值、ETF与成份股的流动性差异是造成ETF向成份股波动溢出的原因,而折溢价率是造成成份股向ETF波动传导的原因。本文的研究可为指数化投资对标的市场的影响提供新的证据,为监管提供决策参考。

This paper studies volatility spillover effect of ETFs and their largest component stocks by spillover index method,according to the arbitrage trading of ETFs. The empirical results show that volatility spillovers from ETFs to their largest component stocks are economically significant. The volatility spillovers from ETFs to component stocks has obvious fluctuation characteristics,in contrast,spillovers from component to ETFs is stable. The spillover effect is persistent in time,ETFs＇ market capitalization,the relative illiquidity of the ETFs and their component stocks may create volatility spillovers from ETFs to component stocks,and the premium rate is the key cause of volatility spillovers from component stocks to ETFs.