Empirical Research On The Performance Of Exchange Traded Funds In China

The full name of the ETF is Exchange-Traded Funds.ETF is a passive index fund,and combines with the characteristics of open and closed fund.Compared to the index fund in China early,the lower transaction costs,trading more convenient,more mobile and copy better,in addition,it double transaction mechanism,attracted more and more attention of investors China.Although China's ETF development level is weak in the developed countries,but with the continuous innovation of China's exchange traded index fund products,the market will usher in a bright future.Therefore,this study will evaluate the performance of ETF from every aspect of fund evaluation,to gradually improve China's Exchange Traded Fund(ETF)to provide some suggestions for the operation of the market efficiency.This paper summarizes the theory of literature of domestic and foreign fund evaluation,and have a brief overview of the exchange traded fund(ETF)the theoretical basis of the definition,characteristics and performance evaluation,And select the December 2012 before the establishment of the operation,all ETF more than five years,a total of 44,from five angles,respectively,earnings risk,risk adjusted return,timing ability and the level of liquidity,an empirical study of the performance evaluation in China ETF,By choosing the angle index,finally established the 14 evaluation indexes.Firstly,performance ranking and simple evaluation from the single index of ETF,and then through the validity analysis,reliability analysis and factor analysis selected comprehensive evaluation index,and established a comprehensive performance evaluation model,finally,according to the comprehensive performance of the scoring model,a comprehensive evaluation of the fund and provide a ranking the suggestions for investors to invest in index funds.The study found that,overall,China's ETF fund risk management and risk dispersing ability difference is obvious,ETF market efficiency is still relatively low,the lack of liquidity,it also suggest that from the side of the level of China's stock market development is low,and weak professional market participants.From the performance point of view,better performance and the top five ETF respectively in Jiashi Gen 400 ETF and Yi Fangda Gem ETF,China Merchants Shenzhen TMT50 ETF,GF small plates 300 ETF and ICBC Shenzhen dividend ETF,especially ICBC Shenzhen dividend ETF,it is recommended in many single index ranking,therefore,investors can choose between investment.