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| Title: | ETFs 風險歸因分析：以台灣股票市場為例
Risk Attribution of ETFs in Taiwan Stock |
| Authors: | 張文蓉
Chang, Wen-Jung |
| Contributors: | 郭維裕
Kuo, Wei-Yu
張文蓉
Chang, Wen-Jung |
| Keywords: | ETF
風險歸因
集中度風險
市場集中度
多角化限制
X-Sigma-Rho模型
ETF
risk attribution
concentration risk
market concentration
diversification restrictions
X-Sigma-Rho model |
| Date: | 2024 |
| Issue Date: | 2024-09-04 15:29:13 (UTC+8) |
| Abstract: | 近二十年來，由於財務工程的進步、金融法規的鬆綁及投資環境的自由化，金融創新為市場和投資人帶來了新的投資商品及工具，以滿足不同類型投資人對於投資、避險及套利的需求。ETF 在眾多衍生性金融商品中，成為成長最快速的投資工具之一。截至 2024 年 3 月底，台灣的 ETF 市場規模已達 4.73 兆元，占整體投信基金規模的 61.08%，顯示出 ETF 在台灣市場的高度接受度和快速增長。
研究發現，ETF 因其低交易成本和高流動性，已成為台灣投資者最親睞的投資工具之一。然而，由於 ETF 的結構複雜，涉及不同資產類別和投資策略，並且近年來在風險多角化上出現許多限制，這使得投資者面臨的風險也隨之增加。本文旨針對台灣成立超過十年的國內股票型 ETF 進行風險歸因分析，將運用 X-Sigma-Rho 模型，分析 11 檔 ETF 的投資組合在持股及產業上的風險貢獻度，以提供對投資組合風險來源的洞見。
本研究結果顯示，在這 11 檔 ETF 中，有 9 檔 ETF 存在明顯的集中度風險。並且，市值型 ETF集中度風險相對高於非市值型 ETF，因其高度受到市場集中程度所支配。以0050 及 006208 為例，兩者風險都高度集中於股票台積電及電子工業，因台灣市場在一定程度上過度依賴半導體產業所致。因此，市值型 ETF 相比非市值型 ETF，有較高的集中度風險。若投資人欲趨避此集中度風險，建議其配置非市值型 ETF。
In the past two decades, due to the progress of financial engineering, the loosening of financial regulations and the liberalization of the investment environment, financial innovation has brought new investment products and tools to the market and investors to meet the needs of different types of investors for investment and risk hedging. and arbitrage needs. ETFs have become one of the fastest-growing investment tools among many derivative financial products. As of the end of March 2024, Taiwan's ETF market size has reached 4.73 trillion yuan, accounting for 61.08% of the overall investment fund size, showing the high acceptance and rapid growth of ETFs in the Taiwan market.
Research has found that ETFs have become one of the most popular investment tools among Taiwanese investors due to their low transaction costs and high liquidity. However, due to the complex structure of ETFs involving different asset classes and investment strategies, and the many restrictions on risk diversification that have emerged in recent years, the risks faced by investors have also increased. The purpose of this article is to conduct a risk attribution analysis on Taiwan's domestic stock ETFs that have been established for more than ten years. The X-Sigma-Rho model will be used to analyze the risk contributions of the investment portfolios of 11 ETFs in terms of holdings and industries, so as to provide investment insights. Insights into sources of portfolio risk.
The results of this study show that among these 11 ETFs, 9 ETFs have obvious concentration risks. Moreover, the concentration risk of market capitalization ETFs is relatively higher than that of non-market capitalization ETFs because they are highly dominated by market concentration. Taking 0050 and 006208 as examples, the risks of both are highly concentrated in TSMC and the electronics industry, due to the Taiwan market's over-reliance on the semiconductor industry to a certain extent. Therefore, market capitalization ETFs have higher concentration risk than non-market capitalization ETFs. If investors would like to avoid this concentration risk, it is recommended that they allocate non-market capitalization ETFs. |
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| Description: | 碩士
國立政治大學
國際經營與貿易學系
111351037 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0111351037 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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