A50中國指數ETF與滬深300A股指數ETF之折溢價的資訊內涵與因果關係

Abstract

目前尚無針對投資中國大陸相關之A50ETF與滬深300ETF的價格發現與折溢價分析之相關研究。然而，由於中國對境外投資人投資A股的限制以及境內投資人投資境外股市的限制，可能產生折溢價之現象。也因為管制促使在香港發行的此兩檔ETF成為外國投資人欲投資中國最自由且具彈性的選擇。本研究將以基金市值與淨資產價值之日資料進行實證分析，探討折溢價比率之放大縮小對報酬率的影響且是否具有資訊內涵，並進一步探討淨值與市價的因果關係。

There are no studies analyzing the information content and price lead-lag relationship between A50 ETF and CSI500 ETF. However, accessing China's capital markets remains difficult for global investors. Accessing other capital markets also remains difficult for China investors. Thus, ETFs are naturally becoming a convenient and appropriate alternative investment choice. Under these circumstances, ETFs may have discount or premium between the market value and NAV. This article uses daily closing price data of iShare A50 ETF and CSI500 ETF to examine their information content and price lead-lag relationship.