影响中国ETF折溢价因素的实证分析——以上证50ETF为例的中期报告.docxVIP

影响中国ETF折溢价因素的实证分析——以上证50ETF为例的中期报告 摘要： 本文以上证50ETF为例，采用时间序列分析方法探讨了影响中国ETF折溢价的因素。研究结果表明，经济指标、市场情绪和流动性都对ETF折溢价有着显著影响。其中，货币供应量、股市波动率和ETF规模与沪深300指数波动率都对ETF溢价产生了负向影响；而市场情绪量化指标VIX和股市成交额对ETF折价产生了显著影响。然而，在股市交易量方面，与预期相反，我们并未发现其对ETF溢价水平有显著影响。本文的结论可以帮助投资者更好地掌握ETF溢价的动态变化，从而有效调整投资策略并降低风险。 关键词：ETF折溢价；时间序列分析；经济指标；市场情绪；流动性 Abstract: This paper explores the factors that affect the discount/premium of Chinese ETFs using time-series analysis, using the Shanghai Stock Exchange 50 Index ETF as an example. The study finds that economic indicators, market sentiment, and liquidity all have a significant impact on the discount/premium of ETFs. Among them, the monetary supply, stock market volatility, and ETF size are all negatively related to the ETF premium. In contrast, market sentiment quantified by the VIX and stock market turnover have a significant impact on the ETF discount. However, despite expectations, we did not find that trading volume in the stock market had a significant impact on the level of ETF premium. The conclusions of this study can help investors better understand the dynamic changes in ETF premiums and adjust their investment strategies effectively to reduce risk. Keywords: ETF discount/premium; time-series analysis; economic indicators; market sentiment; liquidity.