中文摘要：

目前对ETF的研究大多基于日数据,无法定量研究ETF瞬时套利问题。本文基于华夏上证50ETF和华安上证180ETF二级市场交易的高频数据,分析了ETF跟踪标的指数的日内误差,研究了两只ETF实现无风险套利的市场冲击成本和时间成本。最后利用金融久期分析了ETF二级市场的日内效应及其对套利交易的影响,并建立ACD模型,提供了定量预测实现套利交易时间成本的统计方法。

英文摘要：

Most of the recent works on ETF are based on daily data,thus the strategy of instantaneous arbitrage could not be carefully studied.In this paper,two ETF funds in Chinese stock market are examined based on high frequency data.We investigate the extent and properties of the premiums and discounts of ETF from their market value.The cost of arbitrage is carefully studied.In the last part of our work,the Autoregressive Conditional Duration（ACD） is used to study the dynamic structure of ETF transactions;we introduce a statistical method to forecast the time cost to realize the arbitrage chance.