A Study on ETF Market Pricing Volatility:Theory and Empirics
This paper explores the influencing factors of ETF market return volatility from both theoretical and empirical perspectives.First,the paper constructs a time series model of ETF returns and derives the expression of ETF market return volatility and its influencing factors from theory.The model shows that the increase of ETF price tracking coefficient,systematic pricing bias,market recovery coefficient and net value volatility will lead to the increase of ETF market return volatility.At the same time,the model explains how the two special market institutions of price limit and market suspension increase the volatility of ETF by increasing the pricing bias of ETF.Then,the paper selects the sample data of Chinese stock ETF market prices and net values from 2011 to 2022 and empirically tests the theoretical results of the model.The empirical results are consistent with the theoretical expectations.Further,the paper discusses the risk premium problem of ETF price volatility and finds that due to the market recovery mechanism of ETF,the influencing factors of ETF price volatility cannot bring risk premium to ETF,but only increase the volatility of price.This paper's research not only helps scholars and investors better understand the internal logic of ETF market price volatility,but also has important implications for the improvement and development of ETF market.
ETF Market Time Series ModelPrice VolatilityMarket MechanismRisk Premium
万方数据
维普
