Etf Transaction Prices With Their Net Worth And The Underlying Index's Linkage Study

ExchangeTraded Fund (ETF) has a rapid development all over the world, since it was created in 1993. There are 5 ETFs being traded in local market now, but domestic researches about ETFs still stay in introduction stage, lacking of empirical studies, especially in lead-lag relationship among stock index, ETF price and ETF net asset value (NAV). Based on Engle&Granger's Time Series Theory, this paper makes an empirical study on two lead-lag relationships----ETF price and index, ETF price and ETF NAV----by the Vector Error-correction Model, Granger Causality Test, Impulse Response Function and Forecast Error Variance Decomposition. The data of 50ETF, 100ETF, 180ETF, which listed for more time, are employed.The conclusions are as follows: The results of long-term relationships of ETF pricees and indexes show that, the prices of 50ETF and 100ETF lead their indexes, but the reverse happens in 180ETF. While the results of short-term relationships of ETF pricees and indexes show that, during the Bull, the prices of 50ETF and 100ETF lead their indexes, 180ETF in reversed direction; during the Bear, the prices of 50ETF and 100ETF lag their indexes, 180ETF in reversed direction. And the results of long-term relationships of ETF pricees and ETF NAVs show that, the prices of 50ETF and 100ETF lead their NAVs, but 180ETF is on the contrary.Finally, the paper applies the trading cost hypothesis, marketwide information hypothesis, and limited rule hypothesis to explain the conclusions of empirical study, and gives some suggestions to develop ETFs market in our country.