REVIEW OF FINANCE · VOL.20, ISSUE. 6 · OCTOBER 2016

股票價格日間波動及杠杆ETF再平衡

作者：Pauline Shum (York University), Walid Hejazi (University of Toronto)

摘要：監管機構和市場參與者擔心杠杆交易所交易基金（ETF）在市場收盤附近進行的對沖操作會推動股市日末波動。杠杆ETF提供商則認為基金規模太小不足以對波動産生實質的影響。我們對2006-2011年金融危機前後的研究表明，日末波動與潛在再平衡交易對總交易量的比率呈現出顯著的統計相關性。這些影響并非都是經濟意義上的顯著，而是在波動最大的日子影響最大。在給定杠杆ETF對沖需求的可預測模式的情況下，我們可以探索捕食交易的影響。

Intraday Share Price Volatility and Leveraged ETF Rebalancing

Pauline Shum (York University), Walid Hejazi (University of Toronto)

ABSTRACT

Regulators and market participants are concerned about leveraged exchange-traded funds (ETFs)’ role in driving up end-of-day volatility through hedging activities near the market’s close. Leveraged ETF providers counter that the funds are too small to make a meaningful impact on volatility. For the period surrounding the financial crisis, 2006–11, we show that end-of-day volatility was positively and statistically significantly correlated with the ratio of potential rebalancing trades to total trading volume. The impacts were not all economically significant, but largest during the most volatile days. Given the predictable pattern of leveraged ETF hedging demands, implications for predatory trading are explored.

原文鍊接：

http://rof.oxfordjournals.org/content/20/6/2379.abstract

翻譯：陳然