【摘要】 价格发现功能是ETF市场的一个基本功能,上证50ETF是否具备价格发现功能是衡量ETF推出是否成功的一个重要指标。本文采用多资产方差分解法分析50ETF交易的信息含量,从交易价格和交易量对50ETF的价格发现功能进行检验。实证结果显示,我国ETF具有一定的价格发现功能,但与西方成熟资本市场相比仍存在一定差距。由于价格发现功能与市场特定微观结构紧密,为此论文从市场微观结构角度,应用交易成本假说、交易限制假说、市场信息假说对50ETF的价格发现功能进行了深入剖析。更多还原

【Abstract】 Price discovery is a basic function of ETF market,so that it’s an important index to judge 50ETF is a successful innovative product or not according to its function of price discovery.In this paper,we apply multiassets variance to analyze the informational efficiency of 50ETF,and test the price discovery efficiency of 50ETF by trading price and trading volume.By the evidence from the empirical test,we find that 50ETF has partial function of price discovery,but still has a great gap comparing to western mature capital market.Because the function of price discovery is correlated with special market macrostructure,we apply those theory such as transaction cost hypothesis,limited trading hypothesis,market information hypothesis,to analyze the price discovery efficiency of 50ETF deeply.更多还原