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| Title: | 現金股利對台灣ETF追蹤誤差影響之實証研究
The Impact of Cash Dividends on the Tracking Error of Taiwan ETFs |
| Authors: | 陳素婷
Chen, Su-Ting |
| Contributors: | 盧敬植
陳素婷
Chen, Su-Ting |
| Keywords: | 現金股利
追蹤誤差
高股息
Cash dividends
Tracking errors
High-dividend |
| Date: | 2024 |
| Issue Date: | 2024-08-05 13:42:43 (UTC+8) |
| Abstract: | 本研究探討現金股利與台灣ETF追蹤誤差的關係，追蹤誤差的計算方式為ETF與追蹤指數的淨值報酬差距之平方總和，再取標準差作為追蹤誤差的衡量指標，分析現金股利是否會影響台灣ETF的追蹤誤差，並進一步加入現金股利與成交量的交乘項，來檢驗成交量改變時，是否會影響ETF的追蹤誤差與現金股利的關係。最後加入利率與高股息ETF的虛擬變數，探討利率是否會對台灣高股息ETF造成影響。
實証結果顯示，當現金股利越大，台灣ETF的追蹤誤差就會越大，除了因為除息日與實際發放日不同所造成的時間差距難以彌補外，現金股利再投資、投資組合再平衡的過程中也會產生額外的交易成本。另外，現金股利與成交量的交乘項與追蹤誤差呈現負相關，顯示當ETF成交量變大時，會減緩現金股利對追蹤誤差造成的負面影響。最後，研究顯示利率對台灣高股息ETF的追蹤誤差並沒有顯著影響。
This study primarily investigates the relationship between cash dividends and tracking errors of Taiwan ETFs. The tracking error is calculated as the standard deviation of the squared differences between the net asset value returns of the ETF and its benchmark index. The analysis examines whether cash dividends influence the tracking errors of Taiwan ETFs. Furthermore, the interaction term Cash dividend × Volume is introduced to test if changes in trading volume affect the relationship between cash dividends and tracking errors. Finally, the study incorporates interest rates and a dummy variable for high-dividend ETFs to explore whether interest rates impact the tracking errors of Taiwan high-dividend ETFs.
Empirical results show that larger cash dividends lead to greater tracking errors for Taiwan ETFs. This is attributed to the time gap between the ex-dividend date and the actual payment date, which is difficult to compensate for, as well as additional transaction costs incurred during the reinvestment of cash dividends and portfolio rebalancing. Additionally, the interaction term Cash dividend × Volume is negatively correlated with tracking errors, indicating that higher trading volumes mitigate the negative impact of cash dividends on tracking errors. Lastly, the study reveals that interest rates do not have a significant effect on the tracking errors of Taiwan high-dividend ETFs. |
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| Description: | 碩士
國立政治大學
財務管理學系
111357012 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0111357012 |
| Data Type: | thesis |
| Appears in Collections: | [財務管理學系] 學位論文
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