兩岸三地滬深300指數與ETF之價格連動性與價格發現力

Abstract

學界針對兩岸三地滬深300指數與ETF價格連動性、因果關係與價格發現之相關研究絕少著墨。此外，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，使在台灣發行的寶來標智滬深300ETF成為台灣投資人投資中國滬深300指數的最佳選擇。然因兩岸三地市場結構與交易限制等種種不同，使得滬深300指數與ETF在不同市場產生了可能存在的價格連動性與價格發現議題。本研究將以滬深300指數與ETF之市值與淨資產報酬率之日資料進行實證分析，探討兩岸三地淨市值因果關係與不同市場間的價格發現能力，結論結果發現，就滬深300ETF而言，無論是對於中國市場或香港市場，台灣市場均較具有價格發現能力。

Studies analyzing and price relation, cause effect and price discovery of CSI300 ETF among greater China areas are rare presently. In addition, due to the difficulty and tight regulation in China’s stock market, WISE Polaris CSI 300 ETF, becomes the alternative choice for Taiwan investors who desire investing in CSI 300. Due to different markets with various market structures and trading regulations, the issues of price relationship and price discovery of CSI 300 index and ETF may exist. This article uses daily closing price and NAV data of CSI300 ETF in three greater China markets to examine their price relationship and price discovery.