Pacific-Basin Finance Journal ? October 2018 ? Volume 51, Pages 366-375

信息流量限制和相对定价效率：指数期货合约和交易所交易基金的证据

作者：Andrew Lepone (Macquarie Graduate School of Management, North Ryde, Australia),

Jun Wen (Macquarie Graduate School of Management, North Ryde, Australia),

Jin Young Yang (Zayed University, Abu Dhabi, United Arab Emirates)

摘要：本研究探讨信息流量限制对期货市场相对定价效率的影响。特别是，本文研究了指数期货合约与交易所交易基金（ETF）之间的收益相关性，以及澳大利亚（2012年）的成本回收计划和加拿大（2012年）的综合费用模型两项信息流量监管限制的实施情况。证据表明，信息流量监管限制对期货和股票市场之间的相对定价效率产生了积极影响。结果还表明，在监管转型后，ETF与期货市场之间的超前-滞后关系并没有发生质的变化。

关键词：指数期货合约；交易所交易基金；指数套利；消息流量限制

Message traffic restrictions and relative pricing efficiency: Evidence from index futures contracts and exchange-traded funds

Andrew Lepone (Macquarie Graduate School of Management, North Ryde, Australia), Jun Wen (Macquarie Graduate School of Management, North Ryde, Australia), Jin Young Yang (Zayed University, Abu Dhabi, United Arab Emirates)

ABSTRACT

This study examines the impact of message traffic restrictions on the relative pricing efficiency of futures market. In particular, this paper investigates the return correlation between index futures contracts and Exchange-Traded Funds (ETFs) against the implementation of two message traffic regulatory restrictions, namely the Cost Recovery Scheme in Australia (2012) and the Integrated Fee Model in Canada (2012). Evidence indicates that the message traffic regulatory restrictions impose a positive impact on the relative pricing efficiency between futures and equity markets. Results also reveal that the lead-lag relationship between the ETF and futures markets does not change qualitatively after the regulatory transitions.

Keywords: Index futures contracts; Exchange-traded funds; Index arbitrage; Message traffic restrictions

原文链接：

https://www.sciencedirect.com/science/article/pii/S0927538X17304195#!

翻译：施懿