港交所(00388.HK):ETF沽空比率偏高是市場情緒正面的訊號
港交所(00388.HK)表示,近月,香港ETF市場交投火熱,部分香港上市ETF的沽空比率更大幅上升,或令市場憂慮甚至放大了它對市場穩定性所帶來的影響。其實,ETF沽空比率偏高一般可以被解讀為市場情緒正面、市場購買ETF需求旺盛。
莊家擔當流動性提供者的角色,對ETF市場的有序運作至關重要。由於莊家在提供市場流動性的過程中須承受ETF價格下跌的風險,所以ETF莊家一般很少、甚至不會保留ETF單位作為存貨,而是透過ETF的申購及贖回機制(ETF creation and redemption mechanism)來管理庫存。
在ETF申購過程中,莊家透過獲ETF發行商授權的參與證券商進入ETF一級市場。參與證券商以證券或現金向發行商換取ETF單位,並在收到新的ETF單位後,把這些單位交給莊家。ETF贖回流程則相反,參與證券商將ETF單位交付予發行商,以換取ETF的標的證券或現金。
ETF申購及贖回機制讓莊家僅須持有少量ETF單位作存貨,甚至完全不須持有任何庫存。當投資者對ETF的購買需求上升時,莊家可於日間交易時段在二級市場沽空ETF單位,然後在一級市場創建新的ETF單位,以補回其日終短倉。因此,沽空ETF是莊家提供流動性的重要一環,有助維持市場穩定和高效。
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