ETF市场价格波动率的理论与实证研究  

A Study on ETF Market Pricing Volatility:Theory and Empirics

作　　者：周博伦 王英中 王一鸣[1] Zhou Bolun;Wang Yingzhong;Wang Yiming

机构地区：[1]北京大学经济学院,北京100871

出　　处：《上海金融》2024年第3期46-57,共12页Shanghai Finance

摘　　要：本文从理论和实证两方面对ETF市场收益波动率的影响因素进行探究。首先,本文构建了一个关于ETF收益率的时间序列模型,并从理论上推导出ETF市场收益波动率的表达式并拆解出其影响因素。模型表明ETF价格跟踪系数、系统性定价偏差、市场回复系数和净值波动率的增大均会导致ETF市场收益波动率的增加;同时该模型解释了涨跌停、市场暂停交易这两个制度如何通过增加ETF定价偏差来增加其波动率。随后,本文选取2011-2022年间中国股票型ETF样本数据,对模型进行实证检验,实证结果与理论预期一致。更进一步,本文讨论了ETF价格波动的风险溢价问题,发现由于ETF的市场回复机制,ETF价格波动的影响因素不能为其带来风险溢价,只是增加了价格波动性。This paper explores the influencing factors of ETF market return volatility from both theoretical and empirical perspectives.First,the paper constructs a time series model of ETF returns and derives the expression of ETF market return volatility and its influencing factors from theory.The model shows that the increase of ETF price tracking coefficient,systematic pricing bias,market recovery coefficient and net value volatility will lead to the increase of ETF market return volatility.At the same time,the model explains how the two special market institutions of price limit and market suspension increase the volatility of ETF by increasing the pricing bias of ETF.Then,the paper selects the sample data of Chinese stock ETF market prices and net values from 2011 to 2022 and empirically tests the theoretical results of the model.The empirical results are consistent with the theoretical expectations.Further,the paper discusses the risk premium problem of ETF price volatility and finds that due to the market recovery mechanism of ETF,the influencing factors of ETF price volatility cannot bring risk premium to ETF,but only increase the volatility of price.This paper's research not only helps scholars and investors better understand the internal logic of ETF market price volatility,but also has important implications for the improvement and development of ETF market.

关 键 词：ETF市场时间序列模型 价格波动性 市场机制 风险溢价 

分 类 号：F832.5[经济管理—金融学]