基于投资者情绪视角的交易所交易型开放式指数基金市场异象研究
摘要
交易型开放式指数基金(Exchange Traded Fund, ETF)以某一特定指数为跟踪目标,采用“被动式管理(passive management)"方式并通过特殊的交易和申购／赎回制度保持其基金单位净值与跟踪指数高度一致,从而使基金投资者能够以较低的成本获得市场平均收益。ETF特殊的产品设计以及良好的市场表现使其从诞生之日起就受到各国投资者尤其是广大中小投资者的追捧,资产管理规模不断扩大。由于ETF在资本市场风险管理和中小投资者保护方面发挥着不可替代的作用,世界各国尤其是新兴市场国家都将发展本国ETF作为完善国内资本市场交易品种的重要举措,比如日本、韩国、新加坡以及我国的台湾和香港地区。作为资本市场深入贯彻“国九条”的具体措施,我国A股市场于2004年底推出国内首支ETF——上证50ETF。截止2011年9月,A股市场ETF数量已经达到30只,管理资产规模超过700亿元人民币。2011年12月,随着上证50ETF、上证180ETF、上证红利ETF、上证治理ETF、深证100ETF、中小板ETF、深成指ETF等7只ETF被交易所纳入融资融券标的,ETF开始进入全新的发展阶段,也再次受到理论界和实务界的广泛关注。
作为一种新型金融衍生产品,尽管ETF实现了产品上的创新,但是其与传统基金一样不可避免的受到投资者心理和行为因素的影响,这种影响直接体现在ETF运行过程中出现的各种异象之中。从世界各国ETF市场运行情况来看,ETF呈现出某些与传统的封闭式和开放式基金类似的市场异象,比如：二级市场价格对基金单位净值的偏离、资金流波动以及重大事件前后市场出现的异常反应等。上述现象在A股市场同样存在,并且表现更加明显。上世纪90年代行为金融学的迅速发展为研究投资者心理和行为因素对资本市场的影响提供了有力的理论工具,并已形成相对完整的理论和经验研究体系。然而,与传统资产领域取得的丰硕成果相比,行为金融对ETF这种新型金融衍生产品的研究尚未完善,需要进一步研究。
在这一背景下,本文从行为金融学角度入手,结合A股市场ETF特有的交易制度以及投资者结构和行为特征,采用经验分析方法从投资者情绪变动的角度对A股市场ETF各种市场异象的特征和成因进行分析,从而在为实务界和监管当局提供决策依据的同时也为国内学者的后续研究提供有益参考和借鉴。研究发现：尽管A股市场ETF的折溢价在大多数时间都处于套利成本之内,但是ETF折溢价却呈现较大的波动性。较早上市的ETF以及部分风格类和行业类ETF存在二级市场交易价格对其单位净值(NAV)的过度波动,从而证明噪声交易者在这些基金二级市场中占有重要比重；投资者情绪与较早上市的ETF折溢价呈正相关关系,从而证明投资者情绪是导致ETF交易价格对其单位净值偏离的重要原因,但是投资者情绪在新上市ETF折溢价方面的解释力却不够显著；金融危机之后投资者情绪与当期ETF总体资金流呈正相关关系,从而证明投资者情绪会对投资者的资产配置决策产生影响,当投资者情绪高涨时,他们会增加其在ETF上的资产配置。而这种影响在金融危机之前则不显著；投资者情绪对ETF个体资金流产生显著影响,表现为投资者情绪与当期以及随后1周的ETF个体资金流正相关,而与随后4周的ETF个体资金流负相关。在经验研究结果的基础上,本文从完善ETF套利机制、增加指数化投资品种、建立ETF退出机制、健全A股市场指数体系以及优化投资者结构方面给出了促进A股市场ETF进一步发展的政策建议。
与国内外已有研究相比,本文的主要贡献在于：
首先,以A股市场上市交易的ETF为研究对象,从投资者情绪角度对ETF在运行过程中出现的各种市场异象进行深入细致的研究,从而将国内行为金融研究的研究对象由普通股股票和传统基金扩展到ETF这种新型金融衍生产品。
其次,采用主成分分析方法构建投资者情绪复合指数,避免了国外已有研究采用单一指标衡量投资者情绪给检验结果准确性带来的不利影响。
第三,采用平稳性检验、残差分析以及系数检验的方法对模型设定以及变量选取进行修正,从而避免已有研究回归分析结果导致的伪回归现象。
第四,采用面板分析和时间序列分析相结合的方法分别对A股市场投资者情绪与ETF总资金流以及投资者情绪与ETF个体资金流的关系进行研究,从而将国外已有关于投资者情绪与ETF资金流研究由单只基金扩展到ETF总体。
最后,在经验分析结果基础上,结合A股市场ETF特有的交易制度、投资者结构和行为特征提出进一步发展A股市场ETF的相关政策建议。
Exchange traded fund (ETF) is a passive managed investment fund which is designed to track a particular index and entails lower cost on investors to gain average market return though a special creation/redemption mechanism. Investors around the world have been piling into ETFs ever since their first-day offering and making the magnitude of asset managed by ETFs growing steadily as a result of their special mechanism and well performance. Because of their irreplaceable function in risk management and retail investors protection, ETFs are promoted by governments around the world especially governments of emerging markets to optimize transaction varieties of domestic capital markets, including Japan, Korea, Singapore and Hong Kong. As an implementation measures of "Nine Suggestions", A-share stock market in China launched its first ETF, Shanghai50ETF, at the end of2004. So far, the number of ETFs in A-share stock market has reached30, and the magnitude of managed asset has surpassed70billion RMB. In December of2011,7ETFs including Shanghai50ETF, Shanghai180ETF, Shanghai180Corporate Governance ETF, Shenzhen100ETF, Small and Medium-sized Panels ETF as well as Shenzhen Component ETF, were selected as items of shorting and margin financing in A-share stock market, which indicates a new stage of ETFs development in China and gains academic and practical concerns.
Although ETFs realize the mechanism innovation compared with traditional investment funds, they can not avoid being influenced by investors'psychological and behavioral bias, which reflects itself in anomalies of ETFs'market performance. From a worldwide perspective, ETFs present market anomalies similar to traditional close-ended and open-ended funds, such as price deviation to NAV, fund flow volatility and abnormal market reactions around important events. Such anomalies of ETFs also appear in A-share stock market and are more evident than those in foreign stock markets. The explosive development of behavioral finance in90s of last century which has formed a relatively complete theoretical and empirical system offers a powerful tool on the research of investors'psychological and behavioral influence on stock market. However, compared with the fruitful harvest in traditional assets, the research of behavioral finance in ETFs has not been far from consummate, which needs further considerations.
As a result, this thesis utilizes various empirical methods to analyze both the characteristics and causes of anomalies of ETFs in A-share stock market from the perspectives of behavioral finance so as to provide evidence to decision-making process of both practical circle and authorities as well as to provide reference to further research of domestic researchers. It is evident that the premium and discount of ETFs in China is within the scope of arbitrage cost, which indicates the arbitrage system functions well in Chinese ETFs market;5earlier launched ETFs and some of industrial and style ETFs present excess volatility form trading prices to NAV, which indicates that noise traders take important proportion in investor structure of those ETFs; Investors sentiment is positively correlated with the premium of the5earlier launched ETFs, which indicates that investors sentiment is an important factor which causes the price deviation of those ETFs. However, investors sentiment does not has significant power in explaining the price deviation of those new ETFs; Investors sentiment is positively correlated with the total fund flow of ETF industry after the global financial crisis, which indicates that investors sentiment could influence asset allocation decision of investors. When sentiment is high, investors tend to allocate more wealth on ETFs, rather than vice versa. However, this kind of relationship between investor sentiment and total fund flow of ETFs does not hold before the global financial crisis; Investors sentiment is also positively correlated with contemporaneous fund flow for individual ETF. Furthermore, Investors sentiment is negatively correlated with fund flow of individual ETF4weeks later. Based on the empirical result above, this thesis gives policy suggestions for promoting ETFs development in A-share stock market, including improving arbitrage mechanism of ETFs, increasing indexing investment varieties, establishing ETFs exit mechanism, completing index system, and optimizing investor structure of A-share stock market.
Compared with existing research, the main contributions of this thesis are concluded below:
Firstly, this thesis focuses on anomalies of ETFs in A-share stock market so as to extend domestic behavioral finance research from stocks and traditional investment funds to ETFs.
Secondly, this thesis utilizes principal components analysis (PCA) to form investor sentiment composite index so as to avoid the negative effects of single measurement of investor sentiment adopted by existing research.
Thirdly, this thesis adopts empirical method including ADF test, residual test and coefficient test to modify both variable construction and empirical models so as to avoid the spurious regression problem of existing research.
Fourthly, this thesis utilizes time series method to analyze the influence of investor sentiment on ETFs total fund flow, so as to extend the existing research from the relationship between investor sentiment and individual ETF fund flow to that between investor sentiment and total ETFs fund flow.
Finally, based on the empirical results and characteristics of ETF market in China, this thesis gives some policy suggestions to promote the further development of ETFs in A-share stock market.
作为一种新型金融衍生产品,尽管ETF实现了产品上的创新,但是其与传统基金一样不可避免的受到投资者心理和行为因素的影响,这种影响直接体现在ETF运行过程中出现的各种异象之中。从世界各国ETF市场运行情况来看,ETF呈现出某些与传统的封闭式和开放式基金类似的市场异象,比如：二级市场价格对基金单位净值的偏离、资金流波动以及重大事件前后市场出现的异常反应等。上述现象在A股市场同样存在,并且表现更加明显。上世纪90年代行为金融学的迅速发展为研究投资者心理和行为因素对资本市场的影响提供了有力的理论工具,并已形成相对完整的理论和经验研究体系。然而,与传统资产领域取得的丰硕成果相比,行为金融对ETF这种新型金融衍生产品的研究尚未完善,需要进一步研究。
在这一背景下,本文从行为金融学角度入手,结合A股市场ETF特有的交易制度以及投资者结构和行为特征,采用经验分析方法从投资者情绪变动的角度对A股市场ETF各种市场异象的特征和成因进行分析,从而在为实务界和监管当局提供决策依据的同时也为国内学者的后续研究提供有益参考和借鉴。研究发现：尽管A股市场ETF的折溢价在大多数时间都处于套利成本之内,但是ETF折溢价却呈现较大的波动性。较早上市的ETF以及部分风格类和行业类ETF存在二级市场交易价格对其单位净值(NAV)的过度波动,从而证明噪声交易者在这些基金二级市场中占有重要比重；投资者情绪与较早上市的ETF折溢价呈正相关关系,从而证明投资者情绪是导致ETF交易价格对其单位净值偏离的重要原因,但是投资者情绪在新上市ETF折溢价方面的解释力却不够显著；金融危机之后投资者情绪与当期ETF总体资金流呈正相关关系,从而证明投资者情绪会对投资者的资产配置决策产生影响,当投资者情绪高涨时,他们会增加其在ETF上的资产配置。而这种影响在金融危机之前则不显著；投资者情绪对ETF个体资金流产生显著影响,表现为投资者情绪与当期以及随后1周的ETF个体资金流正相关,而与随后4周的ETF个体资金流负相关。在经验研究结果的基础上,本文从完善ETF套利机制、增加指数化投资品种、建立ETF退出机制、健全A股市场指数体系以及优化投资者结构方面给出了促进A股市场ETF进一步发展的政策建议。
与国内外已有研究相比,本文的主要贡献在于：
首先,以A股市场上市交易的ETF为研究对象,从投资者情绪角度对ETF在运行过程中出现的各种市场异象进行深入细致的研究,从而将国内行为金融研究的研究对象由普通股股票和传统基金扩展到ETF这种新型金融衍生产品。
其次,采用主成分分析方法构建投资者情绪复合指数,避免了国外已有研究采用单一指标衡量投资者情绪给检验结果准确性带来的不利影响。
第三,采用平稳性检验、残差分析以及系数检验的方法对模型设定以及变量选取进行修正,从而避免已有研究回归分析结果导致的伪回归现象。
第四,采用面板分析和时间序列分析相结合的方法分别对A股市场投资者情绪与ETF总资金流以及投资者情绪与ETF个体资金流的关系进行研究,从而将国外已有关于投资者情绪与ETF资金流研究由单只基金扩展到ETF总体。
最后,在经验分析结果基础上,结合A股市场ETF特有的交易制度、投资者结构和行为特征提出进一步发展A股市场ETF的相关政策建议。
Exchange traded fund (ETF) is a passive managed investment fund which is designed to track a particular index and entails lower cost on investors to gain average market return though a special creation/redemption mechanism. Investors around the world have been piling into ETFs ever since their first-day offering and making the magnitude of asset managed by ETFs growing steadily as a result of their special mechanism and well performance. Because of their irreplaceable function in risk management and retail investors protection, ETFs are promoted by governments around the world especially governments of emerging markets to optimize transaction varieties of domestic capital markets, including Japan, Korea, Singapore and Hong Kong. As an implementation measures of "Nine Suggestions", A-share stock market in China launched its first ETF, Shanghai50ETF, at the end of2004. So far, the number of ETFs in A-share stock market has reached30, and the magnitude of managed asset has surpassed70billion RMB. In December of2011,7ETFs including Shanghai50ETF, Shanghai180ETF, Shanghai180Corporate Governance ETF, Shenzhen100ETF, Small and Medium-sized Panels ETF as well as Shenzhen Component ETF, were selected as items of shorting and margin financing in A-share stock market, which indicates a new stage of ETFs development in China and gains academic and practical concerns.
Although ETFs realize the mechanism innovation compared with traditional investment funds, they can not avoid being influenced by investors'psychological and behavioral bias, which reflects itself in anomalies of ETFs'market performance. From a worldwide perspective, ETFs present market anomalies similar to traditional close-ended and open-ended funds, such as price deviation to NAV, fund flow volatility and abnormal market reactions around important events. Such anomalies of ETFs also appear in A-share stock market and are more evident than those in foreign stock markets. The explosive development of behavioral finance in90s of last century which has formed a relatively complete theoretical and empirical system offers a powerful tool on the research of investors'psychological and behavioral influence on stock market. However, compared with the fruitful harvest in traditional assets, the research of behavioral finance in ETFs has not been far from consummate, which needs further considerations.
As a result, this thesis utilizes various empirical methods to analyze both the characteristics and causes of anomalies of ETFs in A-share stock market from the perspectives of behavioral finance so as to provide evidence to decision-making process of both practical circle and authorities as well as to provide reference to further research of domestic researchers. It is evident that the premium and discount of ETFs in China is within the scope of arbitrage cost, which indicates the arbitrage system functions well in Chinese ETFs market;5earlier launched ETFs and some of industrial and style ETFs present excess volatility form trading prices to NAV, which indicates that noise traders take important proportion in investor structure of those ETFs; Investors sentiment is positively correlated with the premium of the5earlier launched ETFs, which indicates that investors sentiment is an important factor which causes the price deviation of those ETFs. However, investors sentiment does not has significant power in explaining the price deviation of those new ETFs; Investors sentiment is positively correlated with the total fund flow of ETF industry after the global financial crisis, which indicates that investors sentiment could influence asset allocation decision of investors. When sentiment is high, investors tend to allocate more wealth on ETFs, rather than vice versa. However, this kind of relationship between investor sentiment and total fund flow of ETFs does not hold before the global financial crisis; Investors sentiment is also positively correlated with contemporaneous fund flow for individual ETF. Furthermore, Investors sentiment is negatively correlated with fund flow of individual ETF4weeks later. Based on the empirical result above, this thesis gives policy suggestions for promoting ETFs development in A-share stock market, including improving arbitrage mechanism of ETFs, increasing indexing investment varieties, establishing ETFs exit mechanism, completing index system, and optimizing investor structure of A-share stock market.
Compared with existing research, the main contributions of this thesis are concluded below:
Firstly, this thesis focuses on anomalies of ETFs in A-share stock market so as to extend domestic behavioral finance research from stocks and traditional investment funds to ETFs.
Secondly, this thesis utilizes principal components analysis (PCA) to form investor sentiment composite index so as to avoid the negative effects of single measurement of investor sentiment adopted by existing research.
Thirdly, this thesis adopts empirical method including ADF test, residual test and coefficient test to modify both variable construction and empirical models so as to avoid the spurious regression problem of existing research.
Fourthly, this thesis utilizes time series method to analyze the influence of investor sentiment on ETFs total fund flow, so as to extend the existing research from the relationship between investor sentiment and individual ETF fund flow to that between investor sentiment and total ETFs fund flow.
Finally, based on the empirical results and characteristics of ETF market in China, this thesis gives some policy suggestions to promote the further development of ETFs in A-share stock market.
引文
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