ETF :David Voon : : 1
Markowitz 1952 DOT(designated order turnaround) ESP(exchange stock portfolio) ( ) 1987 10 19, side car ETFExchange Traded Fund ETF ETF ETF ETF ETF ETF ETF (Creation or Prescribed Units)ETF ETF ETF ETF ETF TTT( ) 100 ETF 2
TTT 1,000 ETF ETF ETF ETF ETF ETF ETF ETF 1989 ETFTIPS TIPS ETF TIPS S&P500 SPDR SPDR ( ) ETF ETF TIPS/HIPS (iunits) 1989 / 60S&P/TSE 60( ) SPDRs 1993 500S&P 500( ) MidCap SPDRs 1995 400S&P 400( ) WEBS (ishares) 1996 MSCI MSCI indexes( ) Diamonds 1997 DJIA ( ) Sector SPDRs 1998 S&P Sector( ) Qubes(QQQ) 1999 100Nasdaq-100( ) TraHK( ) 1999 Hang Seng( ) LDRS 2000 StoxxDow Jones Stoxx( ) shares 2000 FTSE( ) DJ S&P Russell ( ) ETF 2001 TOPIX ( ) ETF 2002 3
ETF 2002.10 KOSPI ( ) ETF 2003.6 50(TW50) ( ) :Indexing Asia 2000 2003 9 269 ETF 28 1,767 ETF ETF ETF 67.8 16.2% 4
ETF ETF ETF ETF ETF ETF ETF ETF ETF 36 ETF ETF futures ETF ((NAV Tracking ETF Portfolio ETF ETF () warrants 5
ETF ETF ETF ETF ETF S r( T t) r ( T t) ( t) e D( T ) C1 F( t) S( t) e D + C2 (1) N rτ D( T ) d j e ω, τ j = 1 N d j, τ ω j j= 1 D ω j j D(T ) : F(t) : j,τ d 6
ETF ETF ETF ETF ETF ETF MV NAV NAV ( t) C + C 2 MV ( t) NAV ( t) NAV (t) : MV (t) : C1C 2 1 (2) ETF (1996) (Tick) 7
N 1 T i ϕi 2 i= 1 Pi T i i Pi i ϕi i ETF ETF ETF 1 MVt +1 MVt 2 MVt ETF 1993 SPRD ETF TIPsSPDRQQQDIAMOND ETF Park Switzer(1995) 35 TIPs GARCH(1,1) TIPs 35 TIPs 35 35 35 Ackert Tian(1998) TIPs 35 TIPs Ackert Tian(1998) TIPs 35 TIPs Switzer,Varson Zghidi(2000) SPDRs S&P500 1990 1 2 1996 1 3 S&P500 SPDRs 8
Switzer,Varson Zghidi(2000) Ackert Tian(2001) SPDRs S&P 500 (Box Spread) SPDRs Chu Hsieh(2002) SPDRs S&P500 1.SPDRs S&P500 2. SPDRs 3. 4. Chu Hsieh(2002) SPDRs SPDRs (2002) SPDRs S&P 500 SPDRs S&P 500 S&P 500 S&P 500 Kurov Lasser(2002) Nasdaq100 (tick-by-tick transaction data) QQQs Nasdaq100 (2002) NASDAQ100 ETF ETF (2002)1997 10 6 1998 8 13 DIAMONDs DIAMONDs 31.35% (2002) 9
TTT ETF (FTSE) TTT ETF ETF ETF MV(,market value) MV MV 100 ETF MV r( T t) r( T t) ( t) 100 e D( T ) C11 C12 TF ( t) MV ( t) 100 e D C21 C22 N rτ D( T ) d j e ω, τ j = 1 N d j, τ ω j j= 1 D TF(t) : j D(T ) : d j,τ ω j + + TF B L B r ( T t ) EF ( r r )( T t ) ( t) MV ( t) e Q e D( T ) C11 C12 TF L L B r ( T t ) EF ETF ( r r )( T t ) ( t) MV ( t) e + ( Q M ) e D + C 21 + C 22 10
B r Borrowing rate L r Lending rate EF Q M ETF 50 T=t ETF ( ) T=t ETF 50 ( ) : ) MV (T ) MV (t D(T ) EF Q TW 50( T ) TF( t) L EF r ( T t) + Q e [ ] EF MV (t) + Q C 11 0 C 12 B EF r ( T t) [ ] MV ( t) + Q e 11
EF Q [ TW 50( T ) TF( t) ] L EF r ( T t ) + Q e MV (T ) ETF M MV ( t) + M C 21 0 EF ETF Q + M L ETF r ( T t ) [ ] e B EF ETF r ( t) [ ] T C 22 Q + M e ETF 2003 6 30 TTT 2003 8 7 Bloomberg MV TW50 MV 7 16 MV 8 7 6 30 8 7 935 66 484 12
ETF 50 NAV B L r ( T t) r ( T t) ( t) e D( T ) C21 C22 < TF ( t) < NAV ( t) e D + C11 + C12 50 ETF 50 50 ETF ETF : 13
EF Q [ TW 50( T ) TF( t) ] L EF r ( T t) + Q e N = 50 M i i= 1 N= 50 i N 50 = i N= 50 Si( t) + M i= 1 Si( T ) i D e L r ( T t) EF = Q + M i= 1 C 21 0 N 50 i - Q N = 50 B EF r ( T t) + M i e i= 1 C 22 N 50 = Si( T ) i N 50 = + Si( T ) i D(T ) EF Q TW 50( T ) TF( t) L EF r ( T t) + Q e [ ] N = Si ( T ) + Q i 50 EF N = 50 i Si( T ) + Q EF e B r ( T t) C 11 0 C 12 14
ETF 2003 6 30 TTT 2003 8 7 Bloomberg 956 681 11 15
ETF ( 2) MV MV NAV ETF ETF ETFMV NAV ETF : MV (t) > NAV (t) + C1 MV ( t) < NAV ( t) C2 NAV (t) MV (t) : C 1 ) MV (t NAV (t) MV (t) NAV (t) : NAV (t) MV (t) C 2 6 30 8 7 Bloomberg ETF 0.03 0.2441 ( ETF ) 1.66% ( ETF) 1.86% 16
MV NAV MV NAV ETF 6406 16 MV ETF 16 1.8717 187 MV NAV ETF MV 32 3,200 17
ETF ETF AMEX SPDR TOPIX TSE TOPIX ETF ETF ETF 2003 4 6 SPDR 1993/1/22 1993/4/22 1999/11/12 2000/02/11 TSE TOPIX ETF 2001/7/11 2001/10/11 Goldman Sachs Asset Management International (1)ETF 0.00%~0.05%0.05%~0.10% 17 ( NAVt MVt) / MVt NAVtETF MVtETF ( 1) 0.20% ( 2) (2)ETF 0.00%~0.05% 0.05%~0.10% 17 (3)ETF ETF 0.00%~0.05% 0.05%~0.10% 17 (4) Goldman Sachs Asset Management International Fair Value 0.00%~0.05%0.05%~0.10% 17 18
( Ft FVt) / FVt Ft FVt fair value (1)ETF 5-1 5-3 ETF SPDR ETF ETF SPDR 0.20% 10.53%28.21%( 2)2003 4 6 2 6.25% 7.14% 0.20% TSE TOPIX ETF 2 2 89.89% 9.09% 100% 7.69% TSE TOPIX ETF 2 97.30% 5.41% 23.08% 8.00% ETF 0.20% (2)ETF SPDR 0.20% ( 2) 6-1 SPDR 2 98.21% 3.33% TSE TOPIX ETF ETF 2 2 80.70% 0% 60.00% 3.51% TSE TOPIX ETF 2 50.00% 6.25% 73.17% 3.28% ETF 0.20% (3)ETF SPDR TSE TOPIX ETF ETF 0.20% 2 7-1 SPDR 2 95.00% 3.23% 2 25.00% 0% 22.41% 3.51% TSE TOPIX ETF 2 98.41% 3.28% 19
ETF 0.20% (4) TSE TOPIX ETF 0.20% 2 2 68.00% 7.69% 87.14% 6.45% TSE TOPIX ETF 2 34.78% 6.25% ETF ETF 20
ETF ETF ETF ETF ETF ETF ETF ETF ETF Boot Thakor(1993) ETF 21
5-1 ETF SPDR 1993/1/22~1993/4/222003/04/01~2003/06/3 % 0~0.05 0.05~0.1 0.1~0.15 0.15~0.2 0.2~0.25 0.25~0.3 0.3~0.35 0.35~0.4 0.4~0.45 0.45~0.5 0.5~0.55 0.55~0.6 0.6~0.65 0.65~0.7 0.7~0.75 0.75~0.8 >0.8 (1) (2) 22
5-2 ETF 2003/04/01~2003/06/30 % 0~0.05 0.05~0.1 0.1~0.15 0.15~0.2 0.2~0.25 0.25~0.3 0.3~0.35 0.35~0.4 0.4~0.45 0.45~0.5 0.5~0.55 0.55~0.6 0.6~0.65 0.65~0.7 0.7~0.75 0.75~0.8 >0.8 (1) (2) 23
5-3 ETF TSE TOPIX ETF 2003/04/01~2003/06/30 % 0~0.05 0.05~0.1 0.1~0.15 0.15~0.2 0.2~0.25 0.25~0.3 0.3~0.35 0.35~0.4 0.4~0.45 0.45~0.5 0.5~0.55 0.55~0.6 0.6~0.65 0.65~0.7 0.7~0.75 0.75~0.8 >0.8 (1) (2) 24
6-1 ETF SPDR 1993/01/22~1993/04/222003/04/01~2003/06/3 % 0~0.05 0.05~0.1 0.1~0.15 0.15~0.2 0.2~0.25 0.25~0.3 0.3~0.35 0.35~0.4 0.4~0.45 0.45~0.5 0.5~0.55 0.55~0.6 0.6~0.65 0.65~0.7 0.7~0.75 0.75~0.8 >0.8 (1) (2) 25
6-2 ETF 2003/04/01~2003/06/30 % 0~0.05 0.05~0.1 0.1~0.15 0.15~0.2 0.2~0.25 0.25~0.3 0.3~0.35 0.35~0.4 0.4~0.45 0.45~0.5 0.5~0.55 0.55~0.6 0.6~0.65 0.65~0.7 0.7~0.75 0.75~0.8 >0.8 (1) (2) 26
6-3 ETF TSE TOPIX ETF 2003/04/01~2003/06/30 % 0~0.05 0.05~0.1 0.1~0.15 0.15~0.2 0.2~0.25 0.25~0.3 0.3~0.35 0.35~0.4 0.4~0.45 0.45~0.5 0.5~0.55 0.55~0.6 0.6~0.65 0.65~0.7 0.7~0.75 0.75~0.8 >0.8 (1) (2) 27
7-1 ETF SPDR 1993/01/22~1993/04/222003/04/01~2003/06/3 % 0~0.05 0.05~0.1 0.1~0.15 0.15~0.2 0.2~0.25 0.25~0.3 0.3~0.35 0.35~0.4 0.4~0.45 0.45~0.5 0.5~0.55 0.55~0.6 0.6~0.65 0.65~0.7 0.7~0.75 0.75~0.8 >0.8 (1) (2) 28
7-2 ETF 2003/04/01~2003/06/30 % 0~0.05 0.05~0.1 0.1~0.15 0.15~0.2 0.2~0.25 0.25~0.3 0.3~0.35 0.35~0.4 0.4~0.45 0.45~0.5 0.5~0.55 0.55~0.6 0.6~0.65 0.65~0.7 0.7~0.75 0.75~0.8 >0.8 (1) (2) 29
7-3 ETF TSE TOPIX ETF 2003/04/01~2003/06/30 % 0~0.05 0.05~0.1 0.1~0.15 0.15~0.2 0.2~0.25 0.25~0.3 0.3~0.35 0.35~0.4 0.4~0.45 0.45~0.5 0.5~0.55 0.55~0.6 0.6~0.65 0.65~0.7 0.7~0.75 0.75~0.8 >0.8 (1) (2) 30
8-1 ETF 2003/04/01~2003/06/30 % 0~0.05 0.05~0.1 0.1~0.15 0.15~0.2 0.2~0.25 0.25~0.3 0.3~0.35 0.35~0.4 0.4~0.45 0.45~0.5 0.5~0.55 0.55~0.6 0.6~0.65 0.65~0.7 0.7~0.75 0.75~0.8 >0.8 (1) (2) 31
8-2 ETF TSE TOPIX ETF 2003/04/01~2003/06/30 % 0~0.05 0.05~0.1 0.1~0.15 0.15~0.2 0.2~0.25 0.25~0.3 0.3~0.35 0.35~0.4 0.4~0.45 0.45~0.5 0.5~0.55 0.55~0.6 0.6~0.65 0.65~0.7 0.7~0.75 0.75~0.8 >0.8 (1) (2) 32
[1] Fremault, A., 1991, Stock Index Futures and Index Arbitrage in a Rational Expectations Model,Journal of Business 64, 523-547 [2] Gorton, G. and G. Pennacchi, 1993, Security Baskets and Index-linked Securities,Journal of Business 66, 1-27 [3] Jegadeesh, N. and A. Subrahmanyam, 1993, Liquidity Effects of the Introduction of the S&P 500 Index Futures Contract on the Underlying Stocks,Journal of Business 66, 171-187. [4] Kumar, P. and D. Seppi, 1994, Information and Index Arbitrage, Journal of Business 67, 481-509. [5] Subrahmanyam, A., 1991, A Theory of Trading in Stock Index Futures,Review of Financial Studies 4, 17-51. [6] Ackert, L.F. and Y.S. Tian. The Introduction of Toronto Index Participation Units and Arbitrage Opportunities in the Toronto 35 Index Option Market, Journal of Derivatives,5(Summer 1998),44-53. [7] Ackert, L.F. and Y.S. Tian. Efficiency in Index Options Markets and Trading in Stock Basket,Journal of Banking and Finance,25(2001),1607-1634. [8] Chu,Q.C. and W.G.Hsieh. Pricing Efficiency of the S&P 500 Index Market: Evidence from the Standard and Poors depositary Receipts, The Journal of Futures Markets,22(2002),877-900. [9] Chu,Q.C.,W.G.Hsieh, and Y.Tse.Price Discovery on the S&P 500 Index Markets: An Analysis of Spot Index, Index Futures, and SPDR, International Review of Financial Analysis,8(1999),21-34. [10] Kurov,A.A. and D.J.Lasser. The Effect of the Introduction of Cubes on the Nasdaq-100 index spot-futures Pricing Relationship,The Journal of Futures Market,22(2002),197-218. [11] Switzer,L.N.,P.L.Varson,and S.Zghidi. Standard and Poors Depository Receipts and the Performance of the S&P 500 Index Futures Market,The Journal of Futures Markets,20(2000),705-716. [12] Park, T.H. and Switzer, L.N. (1995). Index Participation Units and Performance of Index Futures Markets: Evidence from the Toronto 35 Index Participation Units Market, Journal of Futures Markets, vol. 15,no.2 (1995), 187-200. [13] ETF 2003 6 [14] 2002 6 33
[15] 2003 5 [16] ETF 482 (2002 6 ) [17] ETF 481 (2002 5 ) [18] ETF 480 (2002 4 ) [19] (ETF) 2002 9 [20] 1996 1-31 [21] NASDAQ 100 [22] S&P 500 [23] - 34