政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/124732

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政大典藏 > College of Commerce > Department of Money and Banking > Theses > Item 140.119/124732

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/124732

Title:	台灣ETF追蹤誤差與資金流研究 A case study in tracking error and capital flow in Taiwan’s ETF
Authors:	羅啟華 Lo, Chi-Hwa
Contributors:	張興華 Chang, Hsin-Hwa 羅啟華 Lo, Chi-Hwa
Keywords:	追蹤誤差指數報酬資金流共同基金 Exchange traded funds Capital flow Tracking errors
Date:	2019
Issue Date:	2019-08-07 16:11:13 (UTC+8)
Abstract:	本文以臺灣證交所上市之18檔ETF，分為國內股指型，國外股指型，債券指數型，商品指數型，國內指數槓反型，國外指數槓反型，探討2016年至2019近三年間不同追蹤標的的追蹤誤差，以及追蹤誤差與追蹤指數報酬對於資金流入的影響，研究結果顯示:在月平均追蹤誤差方面:ETF中追蹤台灣股指型，國內股指槓反型，國外股指槓反型在5%顯著水準下均異於0，在月平均追蹤誤差(絕對值)方面，各組別追蹤標的之ETF在1%顯著水準下均顯著異於0，顯示在ETF淨值報酬率以及指數報酬率間確實存在追蹤誤差。而槓反型ETF追蹤誤差則高於股票指數型ETF以及非股票指數型ETF，表示出槓反型ETF因複製策略，融資及複利效果所造成之成本，會有更大的追蹤誤差，而在前期追蹤誤差，前期指數報酬與本期資金流的迴歸模型中，18支ETF中有5支的ETF模型在5%信心水準下顯示出顯著結果，並且在有顯著結果的ETF中，月資金流與前期月平均追蹤誤差以及前期指數報酬有著負相關，代表說在ETF的資金流中投資人的考量中，對於前期的追蹤誤差有著負向的考量，而對於前期指數報酬存在著負回饋或是避險心態的情況。 This paper estimates tracking error in exchange traded fund(ETF) listed on the stock exchange in Taiwan. The results show that the monthly ETF returns underperform the benchmark index returns due to ETF management fees and transaction costs. Consider average monthly tracking error, stock index group, leverage and reverse stock index group are significant different from zero at 5% level. As for absolute average monthly tracking error, all the ETF are significant different from zero at 1% level. Furthermore, the leveraged ETF’s tracking error is higher than stock index ETF, shows that issuing leveraged ETF is more costly due to Compound effect or Financing effect.in the regression model include capital flow, previous tracking error, previous index return, 5 of 18 ETF shows significant result in regression model at 5% level. In those 5 ETFs, capital flow has negative relationship with previous monthly tracking error and previous index return. Shows investors has a hedge consideration in buying ETFs.
Reference:	Chu, P. K. K. ,2011, “Study on the Tracking Errors and their Determinants: Evidence from Hong Kong Exchange Traded Funds,” Applied Financial Economics, 21, 309-315. Christopher P. Clifford,2014. What Drives ETF Flows, The Financial Review 49 (2014) 619–642 Frino, A. and D.R. Gallagher, 2001. Tracking S&P 500 index funds, Journal of Portfolio Management 28(1), 44–55. Gastineau, G.L., 2004. The benchmark index ETF performance problem, Journal of Portfolio Management 30(2), 96–103. Guedj, I. and J. Huang, 2010. Are ETFs replacing index mutual funds? Working paper, University of Texas at Austin. Ippolito R. A., 1992, consumer reaction to measures of poor quality: evidence from the mutual fund industry, Journal of Laws and Economics, (35), pp.45-70 N,Charupat.and P.Miu,2011,The pricing and performance of leveraged exchange-traded funds, Journal of Banking and Finance 35, 966–977. Pope, P. and P. Yadav,1994, Discovering Errors in Tracking Error,Journal of Portfolio Management, 20, 27-32. Sirri E.and Tufano P., 1998, Costly Search and Mutual Fund Flow,Journal of Finance, (53), pp.1589-1622. 尤亭歡，2015，臺灣、香港、中國大陸三地ETF追蹤誤差之研究，兩岸金融季刊第三卷第一期1-22頁彭思涵，2016，衡量臺灣證券市場上槓桿及反向指數股票型基金之績效，國立政治大學國際經營與貿易學系研究所碩士論文。楊墨竹，2013，ETF資金流，市場收益與投資者情緒，金融研究2013第4期
Description:	碩士國立政治大學金融學系 106352020
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0106352020
Data Type:	thesis
DOI:	10.6814/NCCU201900218
Appears in Collections:	[Department of Money and Banking] Theses

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