China Etf Investment Value Empirical And Comparative Study

Exchanged Trade Fund (ETF) is an investment fund established on securities portfolioand traded on stock exchange like equity securities. Essentially, ETF is designed to enableinvestors to track a particular index. The first ETF was created by Standard&poor’sDepositary Receipt (SPDR) in1993, and the first ETF of China, SHANG ZHEGN50ETF,was created in July2004. Since then, the scale of ETF has expanded enormously.This paper starts from study of the ETF’s investment value by theory analysis andempirical research, then compares37ETFs in Chinese market according to theirinvestment income, investment risk, performance evaluation and operation efficiency.Afterwards, this paper clarifies the existence value and investment value of ETF fromthe other side by comparing the ETF with open-end mutual index fund. After modeling thesubstitution effect between ETF and open-end mutual index fund with the seeminglyunrelated regression (SUR) approach to regress the model, this paper draw a conclusionthat the ETF and open-end mutual index fund are not complements and they are substitutesin attracting investors’ flows. Simultaneously, through the analysis of clientele effect, itcould be suggested that institutional clientele is more suitable for ETF, while the open-endmutual index fund is more attractive to retail clientele. Different investors value thebenefits differently. Distinguish the different types of investors can also reduce thesubstitution effect. The coexistence of ETF and open-end mutual index fund shows thatthey are not perfect substitutes, and clientele effects exist between the two that separatethem into different market niches.