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

股票价格日间波动及杠杆ETF再平衡

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

摘要：监管机构和市场参与者担心杠杆交易所交易基金（ETF）在市场收盘附近进行的对冲操作会推动股市日末波动。杠杆ETF提供商则认为基金规模太小不足以对波动产生实质的影响。我们对2006-2011年金融危机前后的研究表明，日末波动与潜在再平衡交易对总交易量的比率呈现出显著的统计相关性。这些影响并非都是经济意义上的显著，而是在波动最大的日子影响最大。在给定杠杆ETF对冲需求的可预测模式的情况下，我们可以探索捕食交易的影响。

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.

原文链接：

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

翻译：陈然