An Empirical Study Of The Influences Of ETF On The Market And Its Arbitrage Cost

Exchange Traded Fund (ETF) is a kind of open-ended funds and securities investment products, which is listed on stock exchanges. It is of great advantage in innovation and vitality and can meet the multiple needs of different investors. ETF have broad market prospects. So it is significant to study ETF thoroughly and systematically with respect to the current situations of china.This application-oriented essay has studied ETF in detail through combining quantitative and qualitative analysis. Empirical analysis taking advantage of the high-frequency financial data in china's stock market has been used to enhance the research of ETF. The major contents have been summarized as followed.(1) Calculating, analyzing and comparing the indexes related to the risk-return characteristics of ETF in China's market.(2) Studying and evaluating the influences of the listing of ETF on the market through the calculation of relevant indexes.(3) Studying the impacts of Shenzhen 100ETF on underlying stock index through establishing GARCH (0,1) model and the VAR model.(4) Studying the arbitrage method taking advantage of the unique operation mode of ETF, placing emphasis on the arbitrage cost and conducting empirical analysis through establishing relevant models.This essay has drawn four conclusions through detailed empirical analysis.(1) Analyzing and weighing the advantages and disadvantages of each ETF by using of a variety of indexes related to the profitability, capacity of development and risk of ETF.(2) The results demonstrated that the market's liquidity and volatility increased significantly after the listing of Shenzhen 100ETF. The pricing efficiency of the market as a whole has been improved.(3) The results of the VAR model showed that the contribution of ETF towards the pricing of stocks is lower than the foreign mature markets.(4) Desirable and feasible suggestions have been put up for the arbitrage of ShenZheng 100ETF through seeking the point of time with great mobility and establishing the GARCH model of the price to analyze arbitrage cost.