槓桿ETF與E-mini指數期貨日內資料之價格發現分析

Abstract

本論文檢測以S&P 500指數為標的之槓桿ETF在放空限制條件下的價格發現能力，我們主要發現在有放空限制條件下的S&P 500指數市場，槓桿倍數為-2倍的槓桿ETF的價格發現能力上升，傳統的ETF價格發現能力下降，此外在有放空限制條件下槓桿為-2倍的槓桿ETF價格發現能力，接近甚至超越過去研究所發現最具有價格發現能力的E-mini指數期貨。

In this paper, we examine the price discovery of leveraged exchange-traded funds (LETFs), which underlying benchmark is S&P 500 index in the period of ban on short sales. We find that the short-selling bans have led to increase in the information share of ProShares UltraShort S&P 500 Fund (SDS), and decrease in the information share of Standard and Poor’s Depository Receipt Trust Series I (SPDR). Furthermore, the contribution of price discovery in the SDS market has become higher than E-mini index futures market in some trading venues in the period of ban on short sales. These results imply that the ban on short sales maybe slowed down price discovery in the regular ETF market.