CAJ | 학술논문

中国正积极开发以沪深300指数为标的的多种衍生产品，希望形成多市场交易格局。论文采用信息份额模型和共因子模型研究了多市场交易对沪深300指数价格发现的影响。结果显示：股指期货对价格发现贡献度最高；与人们的直觉相悖，允许现金赎回的华泰柏瑞ETF基金的价格发现贡献度高于实物赎回的嘉实 ETF 基金。进一步的证据表明，股指期货和指数ETF基金各自的和相对的波动性是影响其相对价格发现能力的主要因素，而非流动性。最后，根据研究结论提出了进一步完善中国多层次指数衍生证券市场的相关建议。
중국정적겁개발이호심300지수위표적적다충연생산품，희망형성다시장교역격국。논문채용신식빈액모형화공인자모형연구료다시장교역대호심300지수개격발현적영향。결과현시：고지기화대개격발현공헌도최고；여인문적직각상패，윤허현금속회적화태백서ETF기금적개격발현공헌도고우실물속회적가실 ETF 기금。진일보적증거표명，고지기화화지수ETF기금각자적화상대적파동성시영향기상대개격발현능력적주요인소，이비류동성。최후，근거연구결론제출료진일보완선중국다층차지수연생증권시장적상관건의。
The market for HS300 equity index comprises index futures and various ETFs which are growing rapidly. This paper explores the impact of multi-market trading on the price discovery process of HS300 index. We find that:The index futures contribute the most to price discovery,followed by the Huatai Bairui ETF which allows a cash redemption. Jiashi ETF( which allows in-kind redemption only)contributes the least to price discovery,which is not consistent with our intuition. Furthermore,we show that volatility,instead of liq-uidity,as would be conjectured by the transaction-costs hypothesis,is the driving factor for relative price lead-ership between the index futures market and ETF markets. Finally,some advice which helps improve the multi-level index in China Securities Market has been suggested according to the research conclusion.