槓桿型與反向型ETF是否影響其標竿指數之期貨市場？──SGX之A50股指期貨之實證

Do Leveraged and Inverse ETFs Bring about Macro Effects on the Futures Market of the ETFs' Underlying Indices? An Empirical Analysis of A50 Index Futures of SGX

槓桿型與反向型ETF須於每日收盤時段進行重新平衡，將其對應標竿指數的曝險程度調整至應有的目標倍數，此一操作之方向與標竿指數當日之漲跌方向一致，理論上可能產生追漲殺跌的效果。為驗證實務上此一效果是否存在，本文以臺灣所發行的6檔槓桿型與反向型ETF為樣本（分別為上証180指數、滬深300指數、A50指數為標竿的單日正2倍與單日反向1倍ETF），探討其對SGX的A50股指期貨之影響。結果發現：（1）A50期貨於中國大陸股市收盤前半小時（2：30－3：00）之走勢與當日2：30之前之走勢呈現弱勢顯著的正相關，表示這些ETF於尾盤的重新平衡操作可能造成尾盤波動放大的宏觀效果。（2）於1％的顯著水準下，每日重新平衡的調整值以及調整所需A50期貨口數占當日A50期貨總成交量之比重，與收盤前半小時之期貨指數報酬率呈現正向關係，亦支持尾盤波動加大的追漲殺跌效果。（3）若於中國大陸股市收盤前半小時依當日股市漲跌方向進場先行交易，可獲得最高的總報酬率。此類效果過去多在報章雜誌或投行研究報告中論述，學術研究尚不多見，本文以實際日內資料進行實證之研究，其結論支持槓桿型與反向型ETF的確具有擴大尾盤波動的宏觀效果，值得交易所與主管機關參考。 It is essential leveraged and inverse ETFs to rebalance their portfolio at the closing of their underlying index futures market. The direction of the required rebalancing coincides with the return of underling index, i.e., buy -high and sell-low, which may hike the end-of-day volatility theoretically. In order to empirically examine the existence of this macroeffect, we collect the data of three leverage ETFs and three inverse ETFs issued in Taiwan, each pair of leveraged and inverse ETFs tracking SSE 180 Index, CSI 300 index and FTSE Xinhua China A50 index, respectively. All the six ETFs rebalance their portfolio in the FTSE Xinhua China A50 index futures market of SGX on a daily basis. The empirical evidence indicates that (1) the intraday return of SGX A50 futures between 2:30 and 3:00pm is positively related to the return before it at 10% significance level, implying the possible existence of so-called macroeffect, (2) at 1% significance level, the required rebalancing amounts have a positive impact on the return of A50 futures in the 30-minutes before the closing of the stock markets, and so does the trading intensity of the rebalancing, (3) if A50 futures market orders are placed at 2:30pm and reverse the position at 3:00pm according to whether the Chinese stock market is up or down at that time, i.e. buy if up, sell if down, when the absolute magnitude of A50 return before 2:30pm is greater than 0.2%, traders can earn the highest total return among 12 scenarios. In other words, front running is profitable. The issue has been disused mostly in newspapers or the reports of investment banking industry, while academic research has been rare so far. We rigorously test the macroeffect with intraday data. The findings are worth noting for the regulators and the exchanges as well.