我国ETF发展研究
摘要
ETF的发展源自加拿大多伦多证券交易所于1989年发行的TIPS,随后美国证券交易所参考TIPS的架构,发行以S&P500(标准普尔500股价指数)为跟踪标的的SPDR(标准普尔存托凭证)。自此之后,类似产品便层出不穷,并进入快速发展的成熟阶段,除去美洲的加拿大和美国两个早期的ETF发源地以外,在欧洲的英国、德国、瑞士和荷兰,亚洲的日本、香港、韩国、新加坡、台湾、中国等地先后都有ETF产品上市交易。在近30年的时间里,ETF不论在资产规模还是在产品数量与种类上,都获得了惊人的发展,已经成为目前国际金融市场中最重要的投资产品之一
截止2009年,全球共有4008只ETF,同比增长50.79%,资产规模接近13,000亿美元,全球共有ETF管理人近90家,共有42个交易所有ETF产品上市交易。基于投资者数量持续增长,法律法规的放宽,各种股票、债券指数的迅速发展,各种投资风格ETF的开发与增加等原因,预计到2011年,全球ETF的资产管理规模将达到两万亿美元,成为目前最为成功的基金创新产品之一
我国证券投资基金历经十几年的发展,已取得一定的成就,在功能和结构上也基本步入了健康发展的轨道,各类型基金层出不穷,基金规模更是履创新高,但在ETF产品的发展与国际上发达市场的发展历程相比还相对缓慢。自2004年我国首只ETF诞生以来,至2009年底在我国仅有9只ETF,总规模不足100亿美元,已有的ETF品种也呈现出风格趋同、品种单一的弊端,相比国外成熟市场还有很远的路要走。
针对我国现阶段ETF产品的发展现况,文中建议从以下几方面采取措施,为ETF的发展创造良好的市场环境。
首先,建立丰富的市场指数。良好的目标指数是ETF成功的关键因素之一,市场指数的缺乏无疑制约了ETF的发展,无法发挥其多样化的特点。目前在我国,能够获得市场认同的指数资源比较匮乏,导致各个基金公司纷纷争取优良指数的独占使用权,这种情况会使ETF的开发资源不能够得到有效的利用。如果我国能够推出涵盖全市场的指标体系,充分利用现有的优质资源,不局限于地域的限制,将沪深两市中投资者认同度高的优质股票纳入指数编制范围,必定能够促进ETF的发展。其次,加快股指期货、ETF指数权证等和ETF相关的指数衍生产品的发展。指数衍生产品的发展不但有利于繁荣我国的股指期货市场,更能够对ETF在开发、创新、防范风险等方面都有较为鲜明的推动作用。再次,推进ETF在我国及境外不同市场之间的交叉挂牌交易。ETF可作为国际资金的良好投资途径,通过ETF在我国境内外市场的交叉挂牌交易,可以有效地促进我国ETF的健康发展。最后一点是放宽ETF发行条件,鼓励更多的基金管理公司开发更多的类型丰富的ETF产品。同时,还要加强ETF的市场宣传和投资者教育工作,使更多的投资者参与到ETF产品的投资中来。
在结构上,全文共分为七章,四部分。第一部分是第一章和第二章,是绪论和ETF产品介绍部分,着重说明ETF的含义、起源、种类及其特点,对整篇文章起到铺垫作用。第二部分是第三章,介绍ETF在国际上及我国境内的发展情况。第四、五、六章构成了文章的第三部分,说明我国ETF发展的必要性、可行性和面临的风险,该部分是文章的主体。其中,第四章分别是从ETF对我国资本市场、管理人和投资者的发展所起到的不同作用说明我国加快ETF发展的必要性。第五章是从ETF的发展要件上出发,说明在我国现阶段ETF发展的可行性。第六章列出了我国ETF发展面临的风险,主要包括跟踪误差、结算、管理与操作、对手方等四方面的风险。第七章是本文的最后一部分,对我国ETF发展的提出一些建议。
随着我国金融体制改革的逐步深化、金融创新产品的不断推出,相信在未来的几年中ETF产品会有更广阔的发展空间,ETF的产品类型也将向多样化的趋势发展。文中将通过对欧洲、美国等资本市场发达国家的ETF发展历程及数据,以及ETF的运作模式、套利机制、特点、作用和风险进行深入分析,针对我国ETF的发展前景进行讨论,力求对我国ETF的发展起到促进作用。
本文最主要的创新在于结合国际上ETF产品的发展经验和成果,从ETF产品的自身因素及其对相关各方的影响出发,说明在我国现阶段市场环境下加快发展ETF产品的必要性和可行性。同时,吸取国际上ETF产品发展失败的教训,说明我国ETF在推进过程中面临的风险。
ETF had thei r genes i s i n 1989 with the TIPS which was i ssued by the Toronto Stock Exchange in 1989, then the SPDR-tracks the S&P500 (Standard & Poor's 500 stock i ndex)-launched by the American Stock Exchange, referencing the structure of TIPS. Since then, similar products follow on, and steps in the maturity stage with a rapid development. Excluded earlier in the Canada and the United States of America, ETF was traded in succession in the United Kingdom, Germany, Switzerland and Netherlands in Europe and the Japan, Hong Kong, South Korea Singapore, Taiwan and China in Aisa. In the past 30 years, not only in asset scale but also in quantity and the types of products ETF had a development with astonishing speed, and had become one of the most important investment products in current international financial markets.
As of 2009, there are total 4008 ETFs in the global market, with an increase of 50.79%, close to 13,000 billion U. S. dollars in asset, holding nearly 90 ETF managers in the global market, and traded on 42 Stock Exchange. By 2011, global ETF assets will reach two trillion U. S. dollars, based on continued growth in the number of investors, the relaxation of laws and regulations, the rapid development of various stocks index and bonds index, the exploitation and increase of ETFs and other reasons, becoming one of the most successful innovations of the fund.
After 10 years'development, China Securities Investment Fund has achieved certain achievements in the function and structure, and basically stepped into a healthy development track; various types of funds emerged in endlessly, and had a substantial increase in fund scale. However, compared to the developed market, its development still is relatively slow. Since 2004 - the China's first ETF launched, there were 9 ETFs at the end of 2009, less than 100 billion U. S. dollars in the total size. The existing ETF has also shown some disadvantage like styles convergence and single species. It still has along way to go compared to maturity markets overseas.
For the current situation of Chinese ETF products, the paper recommends the following aspects to take measures to create a good development for the ETF market environment.
First, to create a rich market index. Good target index is one of the key success factors for ETF; the lack of market index undoubtedly constrains the development of ETF and whose diversity cannot be played. At present, the index resource to gain market recognition is scarce that leads to struggle for the exclusive right to use the excellent index around fund management companies. At last this status will lead that ETF resources could not be effectively utilized. If launching an index system to cover the full market, fully using existing resources, no limiting in geographical restrictions and including the high quality stock recognized by investors in the Shanghai and Shenzhen stock markets into the range of index compilation, the development of ETF will be promoted. Second, to speed up the development of stock index futures, ETF index warrants and other related derivative products. Index derivative product is not only to conducive to the prosperity of China's stock index futures market, but also to promote the distinctive development of the ETF in the aspect of exploitation, innovation and risk prevention. Again, to advance ETF cross-listed trading among the Chinese and different oversea markets. Through the cross-listed trading, ETF can be used as a good path for international capital investment and promote the healthy development in China. Finally, to relax the conditions of issuing ETF and encourage fund companies to exploit more extensive type of ETF products. At the same time, we should also strengthen the marketing promotion and investor education, so as to enable more investors participate in the ETF's investment.
Structurally, the paper is divided into 7 chapters and 4 parts. The first part incl uding the first chapter and the second chapter, which is an introduction section of ETF Products, highlighting ETF definition, history, types and characteristics, paving the way for the entire article. The second part is third chapters, and introduces the development of ETF in international and domestic environment. The third part is the main part of the article and makes up of the following three chapters, which indicates the necessity, feasibility and risks of ETF in China. Among them, Chapter IV illuminates the necessity to accelerate the development of ETF, respectively from the different roles played by China's capital market, managers and investors. Chapter V illuminates the feasibility of developing ETF at the current stage in China. Chapter VI lists the facing risks of ETF, including four aspects of tracking error, settlement, management and operation, and counterparty. Chapter VII is the last part of this paper, and which are some recommendations for the development of ETF in China.
With the gradual deepening of China's financial system reformation and more and more financial innovation products, ETF products will have a broader development in the next few years, and will have the trend of diversification. Based on the ETF development history and data in Europe and the United States and other developed countries, this paper analyses indepth the operation mode of ETF, arbitrage mechanism, characteristics, effects and risks, discusses the development prospects of ETF, and strives to promote the development of ETF in China.
The main innovation in this paper is to combine the ETF development experience and achievements in the international market, start from the ETF product on its own factors and related impact, illustrates the necessity and feasibility to accelerate the development of ETF products in the current market environment. Besides, the paper also indicates the facing risk in the process of promoting the development of ETF, assimilating the experience and failures of foreign ETF products.
截止2009年,全球共有4008只ETF,同比增长50.79%,资产规模接近13,000亿美元,全球共有ETF管理人近90家,共有42个交易所有ETF产品上市交易。基于投资者数量持续增长,法律法规的放宽,各种股票、债券指数的迅速发展,各种投资风格ETF的开发与增加等原因,预计到2011年,全球ETF的资产管理规模将达到两万亿美元,成为目前最为成功的基金创新产品之一
我国证券投资基金历经十几年的发展,已取得一定的成就,在功能和结构上也基本步入了健康发展的轨道,各类型基金层出不穷,基金规模更是履创新高,但在ETF产品的发展与国际上发达市场的发展历程相比还相对缓慢。自2004年我国首只ETF诞生以来,至2009年底在我国仅有9只ETF,总规模不足100亿美元,已有的ETF品种也呈现出风格趋同、品种单一的弊端,相比国外成熟市场还有很远的路要走。
针对我国现阶段ETF产品的发展现况,文中建议从以下几方面采取措施,为ETF的发展创造良好的市场环境。
首先,建立丰富的市场指数。良好的目标指数是ETF成功的关键因素之一,市场指数的缺乏无疑制约了ETF的发展,无法发挥其多样化的特点。目前在我国,能够获得市场认同的指数资源比较匮乏,导致各个基金公司纷纷争取优良指数的独占使用权,这种情况会使ETF的开发资源不能够得到有效的利用。如果我国能够推出涵盖全市场的指标体系,充分利用现有的优质资源,不局限于地域的限制,将沪深两市中投资者认同度高的优质股票纳入指数编制范围,必定能够促进ETF的发展。其次,加快股指期货、ETF指数权证等和ETF相关的指数衍生产品的发展。指数衍生产品的发展不但有利于繁荣我国的股指期货市场,更能够对ETF在开发、创新、防范风险等方面都有较为鲜明的推动作用。再次,推进ETF在我国及境外不同市场之间的交叉挂牌交易。ETF可作为国际资金的良好投资途径,通过ETF在我国境内外市场的交叉挂牌交易,可以有效地促进我国ETF的健康发展。最后一点是放宽ETF发行条件,鼓励更多的基金管理公司开发更多的类型丰富的ETF产品。同时,还要加强ETF的市场宣传和投资者教育工作,使更多的投资者参与到ETF产品的投资中来。
在结构上,全文共分为七章,四部分。第一部分是第一章和第二章,是绪论和ETF产品介绍部分,着重说明ETF的含义、起源、种类及其特点,对整篇文章起到铺垫作用。第二部分是第三章,介绍ETF在国际上及我国境内的发展情况。第四、五、六章构成了文章的第三部分,说明我国ETF发展的必要性、可行性和面临的风险,该部分是文章的主体。其中,第四章分别是从ETF对我国资本市场、管理人和投资者的发展所起到的不同作用说明我国加快ETF发展的必要性。第五章是从ETF的发展要件上出发,说明在我国现阶段ETF发展的可行性。第六章列出了我国ETF发展面临的风险,主要包括跟踪误差、结算、管理与操作、对手方等四方面的风险。第七章是本文的最后一部分,对我国ETF发展的提出一些建议。
随着我国金融体制改革的逐步深化、金融创新产品的不断推出,相信在未来的几年中ETF产品会有更广阔的发展空间,ETF的产品类型也将向多样化的趋势发展。文中将通过对欧洲、美国等资本市场发达国家的ETF发展历程及数据,以及ETF的运作模式、套利机制、特点、作用和风险进行深入分析,针对我国ETF的发展前景进行讨论,力求对我国ETF的发展起到促进作用。
本文最主要的创新在于结合国际上ETF产品的发展经验和成果,从ETF产品的自身因素及其对相关各方的影响出发,说明在我国现阶段市场环境下加快发展ETF产品的必要性和可行性。同时,吸取国际上ETF产品发展失败的教训,说明我国ETF在推进过程中面临的风险。
ETF had thei r genes i s i n 1989 with the TIPS which was i ssued by the Toronto Stock Exchange in 1989, then the SPDR-tracks the S&P500 (Standard & Poor's 500 stock i ndex)-launched by the American Stock Exchange, referencing the structure of TIPS. Since then, similar products follow on, and steps in the maturity stage with a rapid development. Excluded earlier in the Canada and the United States of America, ETF was traded in succession in the United Kingdom, Germany, Switzerland and Netherlands in Europe and the Japan, Hong Kong, South Korea Singapore, Taiwan and China in Aisa. In the past 30 years, not only in asset scale but also in quantity and the types of products ETF had a development with astonishing speed, and had become one of the most important investment products in current international financial markets.
As of 2009, there are total 4008 ETFs in the global market, with an increase of 50.79%, close to 13,000 billion U. S. dollars in asset, holding nearly 90 ETF managers in the global market, and traded on 42 Stock Exchange. By 2011, global ETF assets will reach two trillion U. S. dollars, based on continued growth in the number of investors, the relaxation of laws and regulations, the rapid development of various stocks index and bonds index, the exploitation and increase of ETFs and other reasons, becoming one of the most successful innovations of the fund.
After 10 years'development, China Securities Investment Fund has achieved certain achievements in the function and structure, and basically stepped into a healthy development track; various types of funds emerged in endlessly, and had a substantial increase in fund scale. However, compared to the developed market, its development still is relatively slow. Since 2004 - the China's first ETF launched, there were 9 ETFs at the end of 2009, less than 100 billion U. S. dollars in the total size. The existing ETF has also shown some disadvantage like styles convergence and single species. It still has along way to go compared to maturity markets overseas.
For the current situation of Chinese ETF products, the paper recommends the following aspects to take measures to create a good development for the ETF market environment.
First, to create a rich market index. Good target index is one of the key success factors for ETF; the lack of market index undoubtedly constrains the development of ETF and whose diversity cannot be played. At present, the index resource to gain market recognition is scarce that leads to struggle for the exclusive right to use the excellent index around fund management companies. At last this status will lead that ETF resources could not be effectively utilized. If launching an index system to cover the full market, fully using existing resources, no limiting in geographical restrictions and including the high quality stock recognized by investors in the Shanghai and Shenzhen stock markets into the range of index compilation, the development of ETF will be promoted. Second, to speed up the development of stock index futures, ETF index warrants and other related derivative products. Index derivative product is not only to conducive to the prosperity of China's stock index futures market, but also to promote the distinctive development of the ETF in the aspect of exploitation, innovation and risk prevention. Again, to advance ETF cross-listed trading among the Chinese and different oversea markets. Through the cross-listed trading, ETF can be used as a good path for international capital investment and promote the healthy development in China. Finally, to relax the conditions of issuing ETF and encourage fund companies to exploit more extensive type of ETF products. At the same time, we should also strengthen the marketing promotion and investor education, so as to enable more investors participate in the ETF's investment.
Structurally, the paper is divided into 7 chapters and 4 parts. The first part incl uding the first chapter and the second chapter, which is an introduction section of ETF Products, highlighting ETF definition, history, types and characteristics, paving the way for the entire article. The second part is third chapters, and introduces the development of ETF in international and domestic environment. The third part is the main part of the article and makes up of the following three chapters, which indicates the necessity, feasibility and risks of ETF in China. Among them, Chapter IV illuminates the necessity to accelerate the development of ETF, respectively from the different roles played by China's capital market, managers and investors. Chapter V illuminates the feasibility of developing ETF at the current stage in China. Chapter VI lists the facing risks of ETF, including four aspects of tracking error, settlement, management and operation, and counterparty. Chapter VII is the last part of this paper, and which are some recommendations for the development of ETF in China.
With the gradual deepening of China's financial system reformation and more and more financial innovation products, ETF products will have a broader development in the next few years, and will have the trend of diversification. Based on the ETF development history and data in Europe and the United States and other developed countries, this paper analyses indepth the operation mode of ETF, arbitrage mechanism, characteristics, effects and risks, discusses the development prospects of ETF, and strives to promote the development of ETF in China.
The main innovation in this paper is to combine the ETF development experience and achievements in the international market, start from the ETF product on its own factors and related impact, illustrates the necessity and feasibility to accelerate the development of ETF products in the current market environment. Besides, the paper also indicates the facing risk in the process of promoting the development of ETF, assimilating the experience and failures of foreign ETF products.
引文
[1]数据来源：根据中证指数公司数据进一步整理
[2]数据来源：根据中证指数公司数据进一步整理
[1]陈品桥.ETF发展新趋势——Cross Li sting[J].ETF论谈,2009
[2]陈游.我国ETF发展策略初探[J].财会月刊,2009(14)
[3]程俊琳.股指期货融资融券助推ETF创新发展[N].证券时报,2010(03)
[4]道富环球投资管理亚洲有限公司和中国台湾大学联合课题组.交易所交易基金(ETF)之国际成功经验分析[N].证券日报,2003(12)
[5]洪志.论交易所交易基金(ETFs)的指数化运作管理[J].市场周刊,2004(10)
[6]华夏基金管理公司.华夏上证50 ETF基金专题研究报告[EB].华夏基金管理公司,2006,09
[7]刘媛媛,李金林.ETF在我国证券市场中的发展[J].金融与经济,2006(1)
[8]李渝萍,肖中梅.交易所交易基金成功的原国分析及对我国的借鉴[J].广东金融学院学报,2004(5)
[9]陆文山,卢文道.证券交易所交易基金(ETF)法律问题研究[A].见：中国法学会商法学研究会第三届年会.中国四川成都.2003
[10]沈春军.ETF基金国内发展现状[J].科技信息,2010(05)
[11]王雪,何大翔.ETF交叉上市离我们还有多远[J].资本市场,2009(09)
[12]修巍.我国ETF基金发展现状及相关问题分析[J].消费导刊,2008(12)
[13]叶盛.ETF在资本市场和投资管理行业的应用[N].中国证券报,2002(5)
[14]叶盛.关于推出ETFs的几点思考[J].证券市场导报,2002,03
[15]于浩洋.关于我国证券交易所交易基金(ETF)发展的几点思考[J].河北金融,2007(5)
[16]中证指数有限公司.2008年全球ETF发展报告[R].上海：中证指数有限公司,2009
[17]张玲.ETFs 的组织结构[J].证券市场导报,2002,02
[18]曾英姿.ETF基本特征与比较分析[J].财会通讯,2010(5)
[19]中国证监会.中国资本市场发展报告[R].北京：中国证监会,2008
[20]周建胜.论ETFs的成功运作及在中国的发展[J].广西金融研究,2004,09
[21]陈万翔.我国ETF运行机制的实证研究[D].浙江大学,2007
[22]丁振华.50ETF上市与标的指数的定价效率[D]. 上海财经大学,2006
[23]冯玉泉.ETF在中国证券市场的发展研究[D].苏州大学,2005
[24]关洪波.上证50ETF运作机制及投资模式研究[D].吉林大学,2005
[25]江宇昆.中国交易所交易基金发展研究[D].同济大学,2006
[26]刘考场.股指期货对股票市场影响的研究[D].湘潭大学,2009
[27]李雨修.沪深300股指期货与ETF组合复合套利研究[D].中南大学,2010
[28]吕小娟.完全复制型ETF业绩评价研究[D].东华大学,2007
[29]孙斌.股指期货对ETF套期保值的实证研究[D].湘潭大学,2009
[30]沈少博.ETF市场影响及套利成本实证研究[D].首都经济贸易大学,2010
[31]袁日.ETF套利研究[D].浙江大学,2005
[32]严洁.ETF基金及其套利研究[D].西南财经大学,2007
[33]张晓明.国外ETFs的经验借鉴及其在中国的发展态势分析[D].东北财经大学,2005
[34]张丽红.ETF在我国的发展研究[D].华东师范大学,2008
[35]赵勇.中国指数基金绩效与风险实证研究[D].西南财经大学,2008
[36]张滢.ETF对我国证券市场的影响研究[D].湖南大学,2007
[2]数据来源：根据中证指数公司数据进一步整理
[1]陈品桥.ETF发展新趋势——Cross Li sting[J].ETF论谈,2009
[2]陈游.我国ETF发展策略初探[J].财会月刊,2009(14)
[3]程俊琳.股指期货融资融券助推ETF创新发展[N].证券时报,2010(03)
[4]道富环球投资管理亚洲有限公司和中国台湾大学联合课题组.交易所交易基金(ETF)之国际成功经验分析[N].证券日报,2003(12)
[5]洪志.论交易所交易基金(ETFs)的指数化运作管理[J].市场周刊,2004(10)
[6]华夏基金管理公司.华夏上证50 ETF基金专题研究报告[EB].华夏基金管理公司,2006,09
[7]刘媛媛,李金林.ETF在我国证券市场中的发展[J].金融与经济,2006(1)
[8]李渝萍,肖中梅.交易所交易基金成功的原国分析及对我国的借鉴[J].广东金融学院学报,2004(5)
[9]陆文山,卢文道.证券交易所交易基金(ETF)法律问题研究[A].见：中国法学会商法学研究会第三届年会.中国四川成都.2003
[10]沈春军.ETF基金国内发展现状[J].科技信息,2010(05)
[11]王雪,何大翔.ETF交叉上市离我们还有多远[J].资本市场,2009(09)
[12]修巍.我国ETF基金发展现状及相关问题分析[J].消费导刊,2008(12)
[13]叶盛.ETF在资本市场和投资管理行业的应用[N].中国证券报,2002(5)
[14]叶盛.关于推出ETFs的几点思考[J].证券市场导报,2002,03
[15]于浩洋.关于我国证券交易所交易基金(ETF)发展的几点思考[J].河北金融,2007(5)
[16]中证指数有限公司.2008年全球ETF发展报告[R].上海：中证指数有限公司,2009
[17]张玲.ETFs 的组织结构[J].证券市场导报,2002,02
[18]曾英姿.ETF基本特征与比较分析[J].财会通讯,2010(5)
[19]中国证监会.中国资本市场发展报告[R].北京：中国证监会,2008
[20]周建胜.论ETFs的成功运作及在中国的发展[J].广西金融研究,2004,09
[21]陈万翔.我国ETF运行机制的实证研究[D].浙江大学,2007
[22]丁振华.50ETF上市与标的指数的定价效率[D]. 上海财经大学,2006
[23]冯玉泉.ETF在中国证券市场的发展研究[D].苏州大学,2005
[24]关洪波.上证50ETF运作机制及投资模式研究[D].吉林大学,2005
[25]江宇昆.中国交易所交易基金发展研究[D].同济大学,2006
[26]刘考场.股指期货对股票市场影响的研究[D].湘潭大学,2009
[27]李雨修.沪深300股指期货与ETF组合复合套利研究[D].中南大学,2010
[28]吕小娟.完全复制型ETF业绩评价研究[D].东华大学,2007
[29]孙斌.股指期货对ETF套期保值的实证研究[D].湘潭大学,2009
[30]沈少博.ETF市场影响及套利成本实证研究[D].首都经济贸易大学,2010
[31]袁日.ETF套利研究[D].浙江大学,2005
[32]严洁.ETF基金及其套利研究[D].西南财经大学,2007
[33]张晓明.国外ETFs的经验借鉴及其在中国的发展态势分析[D].东北财经大学,2005
[34]张丽红.ETF在我国的发展研究[D].华东师范大学,2008
[35]赵勇.中国指数基金绩效与风险实证研究[D].西南财经大学,2008
[36]张滢.ETF对我国证券市场的影响研究[D].湖南大学,2007