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| Title: | 中國大陸市場ETF及其聯接基金追蹤績效實證研究
Tracking Performance of Exchange-Traded Funds and Their Feeder Funds: Empirical Research on Mainland China |
| Authors: | 簡歡
Jian, Huan |
| Contributors: | 張興華
Chang, Hsing-Hua
簡歡
Jian, Huan |
| Keywords: | 指數股票型基金
聯接基金
追蹤誤差
績效管理
ETF
Feeder funds
Tracking error
Tracking performance |
| Date: | 2019 |
| Issue Date: | 2019-08-07 16:12:42 (UTC+8) |
| Abstract: | 本文以上海證券交易所及深圳證券交易所上市的十檔單市場、跨市場、跨境ETF及其聯接基金爲例，從各方面對比了ETF與ETF聯接基金的相似與不同之處。以基準指數的報酬率與ETF報酬率差值的標準差來計算追蹤誤差，配合相關性分析，將追蹤誤差作爲因變數，影響追蹤誤差之原因：ETF類型、費率、分紅、資產配置結構、持有人比例作爲自變數進行多元線性迴歸分析。本文實證結果證明了不論是A類聯接基金還是C類聯接基金，追蹤績效均不如標的ETF。針對不同類型的ETF商品， 跨市場ETF追蹤績效優於單市場ETF優於跨境ETF。費率、分紅、資產配置中的現金占比對ETF及其聯接基金有着顯著影響。最後，探討了ETF聯接基金爲何受到投資人的喜愛及ETF與ETF聯接基金能夠同時在投資市場蓬勃發展的原因。
This paper compares the similarities and differences between ETFs and feeder funds from various aspects by taking the 10 single-market ETFs, cross-market ETFs, cross-border ETFs and their feeder funds listed on the Shanghai Stock Exchange and the Shenzhen Stock Exchange. The tracking error is calculated by the standard deviation of the difference between the return rate of the benchmark index and the return rate of ETF. With the correlation analysis, the tracking error is used as the dependent variable, the type of ETF, fees, dividend, asset allocation structure, the proportion of holders, which is the cause of the tracking error, was used as an independent variable to perform multiple linear regression analysis. The empirical results show that the tracking performance of ETF feeder funds is not as good as the target ETF, whether it is a feeder fund-A or a feeder fund-C. For different types of ETFs, cross-market ETF tracking performance is better than single-market ETF and cross-border ETF. Fees, dividends, and the proportion of cash in asset allocation have a significant effect on ETF and their feeder funds. Finally, we discussed why ETF feeder funds are popular with investors and why ETF and their feeder funds can grow rapidly in the investment market at the same time. |
| Reference: | 上海證券交易所，(2013)。ETF投資：從入門到精通。上海：上海遠東出版社。
尤亭歡，(2015)。臺灣、香港、中國大陸三地ETF追蹤誤差之研究。未出版之碩士論文，國立臺灣大學，財務金融學系，臺北。
邱皓政，(2005)。統計原理與分析技術：SPSS中文視窗版操作實務詳析。臺北：雙葉書廊。
胡陽、孫健慧，(2017)。ETF投資策略從入門到精通。北京：人民郵電出版社。
徐楊，(2011)。我國ETF與聯接基金的跟蹤誤差研究。未出版之碩士論文，西南財經大學，金融工程系，成都。
陳樂天、李彥姝，(2018)。【中銀策略】場內ETF基金投資全景。檢自：http://www.sohu.com/a/271168745_313170
元大投信，國民ETF連結基金，來了，檢自：https://www.yuantafunds.com/active/newfund_2019_03/index.html
華夏基金，買聯接基金選A類還是C類？資料告訴你，檢自：https://xueqiu.com/3951090421/128311253
景順長城基金，ETF、ETF聯接基金、指數基金、指數增強基金的區別，檢自：https://xueqiu.com/1160805449/126774693
富國基金，既能長期持有，又能波段操作，基金份額的A和C你知道嗎？，檢自：https://xueqiu.com/6193725547/125538792
Frino, A., & Gallagher, D. R. (2001). Tracking S&P 500 index funds. The Journal of Portfolio Management, 28(1), 44-55.
Gallagher, D. R., & Segara, R. (2005). The performance and trading characteristics of exchange-traded funds. Journal of Investment Strategy, 1(1), 47-58.
Jack W Aber, Dan Li, Luc Can, (2009). Price volatility and tracking ability of ETFs, Journal of Asset Management 10(4)
René Dingelstad, (2015). Tracking error of exchange-traded funds: Evidence from the UK. Maastricht University, NOVA SBE.
Rompotis, G. G. (2005). An empirical comparing investigation on exchange traded funds and index funds performance. Available at SSRN 903110.
Rompotis, G. G. (2006). Evaluating the performance and the trading characteristics of iShares. Available at SSRN 946732.
Rompotis, G. G. (2009). Interfamily competition on index tracking: The case of the vanguard ETFs and index funds. Journal of Asset Management, 10(4), 263-278.
Rompotis, G. G. (2012). The German Exchange Traded Funds. The IUP Journal of Applied Finance, 18(4), 62-82.
Scott Paul Frush, (2011).All about Exchange-Traded Funds. McGraw Hill Professional. |
| Description: | 碩士
國立政治大學
金融學系
106352039 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0106352039 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU201900178 |
| Appears in Collections: | [金融學系] 學位論文
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