The Research On Liquidity Effect What The Index-derived Assets Impose To The Underlying Securities

Index-investment is a kind of investment which copy a certain security price index completely. In Chinese security market, the trade of index ramification is still a new thing. The emergence of ramification offered a kind of instrument through which the traders can evade the market non-systematic risk effectively. Because Chinese security market present weak-validity, what is the important reference which judge the ramification if it is success is that if it can decrease the market information asymmetry. However, in the research of micro-liquidity theory on security market, there is some difference in the theory and test about the connection between ramification and its objects. The trade of ETF in China offer a chance to test the theory.As a kind of special index-investment production, ETF has all the advantages of open-ended fund; close-ended fund and index fund. ETF offers a convenient implement to the investor who can spread risk through it. ETF also offers a implement for dovish investor to get average market profits and only take systematic risk. If investors take arbitrage, it also influence the liquidity of the underlying securities.This article use the positive analysis to test the liquidity influence which the 50ETF have to the underlying securities. The article mainly contains three parts: (1)the compare between the ETF and its underlying securities; (2)what the ETF have on the liquidity of the underlying securities such as bid-ask spread and market depth etc, (3)what the ETF have on the adverse selection of underlying securities.