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  1. NTU Theses and Dissertations Repository
  2. 管理學院
  3. 財務金融學系
Please use this identifier to cite or link to this item: http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/48007
Title: 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
The Information Content and Granger Causality of the premium/ discount of A50 ETF and CSI 300 ETF
Authors: Pei-Yu Lan
藍珮瑜
Advisor: 李存修
Co-Advisor: 廖咸興
Keyword: 折溢價分析,因果關係,富時A50中國指數ETF,滬深300 A股指數ETF,
Information Content,price lead-lag relationship,A50 ETF,CSI500 ETF,
Publication Year : 2011
Degree: 碩士
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.
URI: http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/48007
Fulltext Rights: 有償授權
Appears in Collections:財務金融學系

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