The Study on Shanghai 50 Index Tracking with Factor Model

• 作 者: CHENKe-yi;LIUJian-he;
• 机 构: Finance Department, Zhejiang University of Finance and Economics
• 出 处: 2009 International Conference on Financial Statistics and Fi
• 发表日期: 2009年期

　　The index tracking needs low frequency or no integrated components as possible for tracking error,but traditional methods do not achieve this goal.Therefore,this paper studies dynamic factor model,considers weighting of Shanghai 50 index stocks,and compares results of factor model with those of traditional methods.Empirical results lead to the conclusion that dynamic factor model is better for Shanghai 50 index tracking.