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对我国交易所交易基金的折溢价行为和波动性进行了理论和实证两方面的研究.建立了二阶段情形下的交易价值理论模型,同时应用该模型对我国交易所交易基金的折溢价行为和波动性进行了理论分析.理论模型推测得到,相对于西方成熟市场,我国的交易所交易基金更容易产生折价交易,且交易所交易基金的波动性高于其净值的波动性.应用2005年2月到2012年12月期间我国上市最早的5只交易所交易基金的日数据,对交易所交易基金的折溢价和波动性进行了实证研究,实证结果为理论提供了支持.
This paper studies the discounted price behavior and volatility of exchange-traded funds in China theoretically and empirically.It builds the theoretical model of transaction value in the second-stage situation, and at the same time applies the model to the discount premium behavior of exchange-traded funds in China The theoretical analysis of the volatility of the theoretical model has been speculated that relative to the mature Western markets, China’s exchange-traded funds are more prone to discounted transactions, and exchange-traded funds higher volatility than its net value.Application 2005 2 From January to December 2012, the daily data of the five exchange-listed ETFs listed in China are empirically studied, and the discount premium and volatility of exchange-traded funds are empirically studied. The empirical results provide support for the theory.