摘要
以截至2009年12月18日在上海证券交易所和深圳证券交易所公开发行的易方达深证100ETF、华夏中小板ETF、华夏上证50ETF、华安上证180ETF、华泰柏瑞上证红利ETF共5只交易型开放式指数基金为研究对象,度量指数基金的流动性风险和市场风险,并以GARCH(1,1)对风险的边缘分布进行建模,同时应用Copu la函数的相关系数分别对不同指数基金的流动性风险和市场风险的相依性进行度量。实证研究表明,指数基金的流动性风险和市场风险都呈现出波动聚集的特性,华安上证180ETF的流动性风险和5只ETF的市场风险均具有尖峰厚尾的分布特性。在证券市场牛市时,华夏上证50ETF和华安上证180ETF的流动性风险与市场风险呈现负相依的特性,而华泰柏瑞上证红利ETF、易方达深证100ETF和华夏中小板ETF的流动性风险与市场风险呈现正相依的特性;在证券市场熊市时,指数基金的流动性风险与市场风险均呈现正相依的特性。
Based on the sample of 5 Exchange Traded Funds including E FUND Shenzhen 100ETF,SME ETF,Shanghai 50ETF,Shanghai 180ETF and Huatai Shanghai Dividend ETF listing in Shanghai Stock Exchange and Shenzhen Stock Exchange up to Dec.18,2009,this study measures the liquidity risk and market risk of Exchange Traded Funds（ETF）.A model is established to measure the dependency of liquidity risk and market risk of Exchange Traded Funds through the correlation coefficient of Copula function,and the distribution function is designed by GARCH（1,1）.The research shows that both liquidity risk and market risk of ETF show the characteristics of fluctuations in aggregate,and the liquidity risk of Shanghai 180ETF and market risk of 5 ETFs have high-peaked and heavy-tailed distribution.When the stock market is a bull market,there is a negative relationship in the liquidity risk and market risk between the Shanghai 50ETF and Shanghai 180ETF,while it′s just the opposite among the Shanghai Dividend ETF,Shenzhen 100ETF and SME ETF.When the stock market is a bear market,there is a positive relationship in the liquidity risk and market risk among all the ETFs.
出处
《管理科学》
CSSCI
北大核心
2010年第5期94-102,共9页
Journal of Management Science
基金
国家社会科学基金(07AJL005)
教育部博士点专项科研基金(20070532091)
教育部人文社会科学规划项目(09YJC630063)~~
