融资融券机制下ETF基金流动性、交易行为对其价格联动的影响研究

A Study on the Impact of Liquidity and Trading Behavior of ETF Fund on the Price Synchronicity under the Margin Trading Mechanism

分别构建了基于ETF基金价格同向变动指数PCI的BH1模型及基于CAPM回归拟合优度R^2的BH2模型,并给出了ETF基金流动性及交易行为的测度方法,在此基础上建立了双重差分模型来研究融资融券机制下ETF基金流动性、交易行为对其价格联动的影响,实证结果证明BH2模型更适合分析融资融券机制下我国ETF基金的价格联动效应。研究发现:无论是否引入融资融券机制,ETF基金的申购行为会提高其价格联动性,而赎回行为会降低价格联动性,ETF基金的流动性越低则其价格联动性越高;融资融券对ETF基金价格联动有一定的影响但回归检验结果在10%显著性水平以下并不显著,且该机制的推出使得ETF基金流动性、交易行为对于价格联动效应的影响程度较未引入融资融券前显著降低; ETF基金规模越大,流动性对价格联动的影响越大,与此同时ETF基金申购行为对其价格联动的影响也越大。

This paper constructs two kinds of price synchronicity models, BH1 model which is based on the co-movement index PCI of ETF fund’ s price and BH2 model based on the goodness of R2 CAPM regression, and offers methods to measure ETF fund’ s liquidity and trading behavior. Furthermore, we use DID model to empirically study the effect of liquidity and trading behavior of ETF fund on the price synchronicity under the margin trading mechanism. The results show that the BH2 model is more suitable to analysis the synchronicity effect of the ETF fund's price in China. In addition, no matter whether or not the margin trading mechanism is introduced, we found that the ETF fund's purchase behavior will increase its price synchronicity, but the redemption behavior will reduce the synchronicity, and the lower liquidity the ETF fund has, the higher synchronicity its prices will present. Finally, the margin has some influences on the ETF fund's price synchronicity but the results of regression test is not significant. However, due to introduction of the mechanism, impact of ETF fund liquidity and trading behavior on the price synchronicity becomes significantly lower than before the mechanism is introduced, and the larger the ETF fund is, the greater influence liquidity will have on price synchronicity and also the greater impact purchase behavior will have on synchronicity.