上証指數ETF的訂價效率與價格發現

自2010年以來，兩岸簽署「海峽兩岸經濟合作架構協議」與「兩岸金融監理合作瞭解備忘錄」後，中國證監會及中國人民銀行放寬臺灣金融機構申請QFII資格及額度，2011年9月富邦投信率先取得QFII額度，推出上證180ETF，為港臺首檔，亦為全球市場少有、直接投資中國大陸A股的現貨ETF，其後2012年陸續有元大寶來投信的上證50ETF和復華投信的滬深300ETF上市，本文以該兩檔ETF為研究標的，並以ETF基金市值與淨資產價值之日資料進行實證分析，進一步瞭解此二檔ETF的訂價效率與價格發現。本研究將由單根檢定開始，先判別各時間序列變數是否具單根性質，避免假性迴歸之情形發生，並利用ETF市值偏離其淨值的偏離幅度及配合共整合模型及誤差修正模型，來觀察跨境掛牌ETF的市價與淨值間是否存在長期均衡關係，並進一步探討其價格發現功能的過程。實證結果顯示，淨值會因新資訊所引發的偏離做調整，使兩者的關係回復到長期的共整合關係，而市價不需顯著調整，表市價較淨值有價格發現功能且居於主導地位。

關鍵字

指數股票型基金；定價效率；價格發現；領先落後關係

並列摘要

Since 2010, after the two sides signed the ＂Economic Cooperation Framework Agreement (ECFA)＂ and the ＂Memorandum of Understanding (MOU) on Cross-Straits Banking Supervision Cooperation＂, the China Securities Regulatory Commission and the China People's Bank relaxed qualification requirements on Taiwan financial institutions for QFII eligibility and quotas. Fubon Asset Management made the first QFII quota in September 2011, then launched Fubon SSE180 ETF, which was not only the first of its kind in Hong Kong and Taiwan but seldom in the world as it invested directly in the China A-Shares market. Subsequently in 2012, Yuanta Securities Investment Trust put Yuanta SSE 50 ETF on the market, then Fuh Hwa Securities Investment Trust launched Fuh Hwa CSI 300 A Shares ETF. This paper focuses on the above-mentioned two ETFs, Yuanta and Fuh Hwa, as the research subjects, and uses their daily data of market value and net value to carry out empirical analysis, to further elucidate the pricing efficiency and price discovery of these two ETFs. First, the Unit Root test will be invoked to determine whether each time series variable possesses Unit Root nature, in order to avoid the occurrence of spurious regression situation. Second, the magnitude of deviation between ETF's market value and net value will be used, in accordance with the co-integration model and error correction model, to observe whether there exists a long-term equilibrium relationship between the market value and net value of China-listed cross-border ETF. Third, the process of the price discovery function will be explored further. The result is expected to indicate that the net value is able to make its own adjustments due to the deviation caused by new in-formation so that the market value and the net value return to the long-term co-integration relationship. The market value does not need significant adjustments. In conclusion, the market value dominates over the net value and is more useful for the price discovery function.