| Since 1990's, the international stock market has transferred the idea gradually to the tendency of investment and the specialized fund management represents the low cost, the specialized investment idea. The first ETFs was born in US at 1993, because of unique and novel, it's very quickly accepted by all participants in the market, has gained the huge success in the American market. At the same time, ETFs has caused the attention of Europe, Asia, Oceania stock market and so on, it obtains developed rapidly in the global scope, at present it has become more and more important in the global fund industry development. Under such background, through repeatedly nearly four years research and the preparation ,the first ETF has opened, (Shanghai 50ETF) by the Huxia fund management corporate management - in Shanghai 50 transactions style negotiable securities investment fund to be supposed the potential to live to November 29, 2004.Although the success of ETF has only brought for market participation all quarters altogether wins, each big analysis organization also generally promotes the expression to Shanghai 50ETF to be optimistic, but it goes on the market after market response relatively to be actually tranquil. Besides the insufficient understanding of the market public figure to this new thing, the participation enthusiasm not high , there are four questions at least: Existing ETF itself cannot make T+0 to rotate, cannot beyond buy, cannot finance the enlargement as well as the transaction cost is too high, Simultaneously the fund supervisor's passive form investment management still was not mature, the level waited for further enhances. These all explained that the development of ETF in our country ,although the prospect light also the attractive, still had very long section of way to go.This article draws up in the foundation which the predecessor studies, overseas will be in vogue in the ETF arbitrage principle and our country the card 50ETF's special details will unify, systematically will conduct the real diagnosis research to on card 50ETF's movement mechanism and the arbitrage situation, will be able to invest the suggestion by the time which the ETF arbitrage will provide some to be worth profiting from.. This article is divided five parts: First, introduction, introduction present paper writing background and home, international research results; Second, the ETF definition and the organization operation pattern, obtained from the definition, elaborated the ETF organization operation pattern and the characteristic: Third, 50ETF arbitrage real diagnosis research, the arbitrage flow and the influence factor analysis, elaborates the ETF arbitrage principle and the condition in detail, the analysis error of tracking, overflows gives a discount, the arbitrage cost to the arbitrage the influence, in the real diagnosis research Shanghai 50 index rise and drop, becomes distributes stock shares the stock to change, the cash substitution and the cash difference to Shanghai 50ETF arbitrage influence; Fourth, the conclusion, carries on the summary induction to the paper front part. In view of the fact that Shanghai 50ETF transaction time only then short year half time, the corresponding transaction software has not used in the arbitrage operation, any arbitrage experience has not been possible to profit from. Limits in the collection correlation source material condition, difficultly draws comprehensive extremely and the fine accurate conclusion to the above question. But this article attempts to clean up the master line from the actual operation process in each kind of representation, thus to help all scholar who pays attention to ETF. |
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