Empirical study on price discovery of exchange traded fund in China
中国ETF基金的价格发现问题

An empirical study on price discovery of exchange traded fund(ETF) in China is presented in this paper.With the Johansen cointegration method and VEC model,it's found that the ETF trading price,the net asset price,the tracing index value have cointegration relationships.When the first difference on the log-price of ETF as dependent variable,the estimation on the coefficients of error revision items for ETF price VEC model is different.It indicates that the difference exists from non-balanced situtation to t...