高频数据条件下基于交易成本考虑的中国ETF基金跨市套利研究  

A Study of ETF Intermarket Arbitrage with High Frequency Data Considering Transaction Cost

作　　者：王良[1] 贾宇洁 刘潇[1] Wang Liang Jia Yujie Liu Xiao(School of Economics and Business Administration, Xi＇ an University of Technology, Xi＇an 710048)

机构地区：[1]西安理工大学经济与管理学院,西安710048

出　　处：《管理评论》2016年第11期55-65,共11页Management Review

基　　金：国家自然科学基金项目(71171155);西安理工大学高学历人员科研启动经费项目(105-400211211);陕西省教育厅专项科研计划(16JK1527)

摘　　要：以20只ETF基金的1分钟高频数据作为样本,构建了ETF基金一、二级市场跨市套利模型并进行了实证研究。研究发现,无论是从样本整体还是日内数据来看,市场出现反向套利机会(二级市场买入ETF基金→一级市场赎回→二级市场卖出成份股)的次数要远多于正向套利机会(二级市场买入ETF基金成份股→一级市场申购ETF基金→二级市场卖出ETF基金)的次数。而当ETF基金资产净值较高、市场中机构投资者与个人投资者持有的ETF基金份额都较高,且二者持有份额比例较为均衡时,ETF基金反向套利的出现机会及收益率都有所提高。此外,ETF基金资产净值的升高对于市场中连续反向套利的收益及其出现机会有显著的正向影响,但是随着套利时间的延长,每15秒公布的IOPV值会削弱这种影响程度。而机构投资者持有ETF基金份额的增加,降低了市场的流动性,使得市场中出现正向连续套利的几率增加。With one minute of high frequency data of 20 ETF funds,we study the arbitrage process of inetrmarket. We find that from the perspective of either the whole sample or intraday data,opportunities of reverse arbitrage（ Buying ETF in secondary market → redemption in primary market → selling constituent stocks of ETF in secondary market） appear far more frequently than opportunities of positive arbitrage（ Buying constituent stocks of ETF in secondary market → purchasing ETF in primary market → selling ETF in secondary market）. When ETF fund net asset value is higher,the ETF holding shares of institutional investors and individual investors are higher and of balanced proportion,arbitrage opportunities and yields of ETF arbitrage are improved in the meantime. Moreover,increase of ETF net assets value has positive effect on the reverse continuous arbitrage＇s profit and opportunity,but with the extension of arbitrage time,IOPV of ETF will weaken the influence degree. Furthermore,the increase of institutional investors holding shares of ETF reduces the market liquidity,so the probability of positive continuous arbitrage chance is increased simultaneously.

关 键 词：成本 基金 套利 回归 

分 类 号：F832.51[经济管理—金融学]