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| Title: | 期貨信託基金交易的不理性行為對折溢價影響
The impact of the irrational behavior of the Futures ETFs transaction on the discounts and premiums |
| Authors: | 蔡渝玫
Tsai, Yu-Mei |
| Contributors: | 周冠男
Chou, Robin K
蔡渝玫
Tsai, Yu-Mei |
| Keywords: | ETF
折溢價
樂透型股票
有限注意力
賭博偏好
定錨效應
ETF
Discount and premium
Lottery stocks
Limit attention
Gambling preferences
Anchoring |
| Date: | 2021 |
| Issue Date: | 2021-09-02 16:25:30 (UTC+8) |
| Abstract: | ETF 發明約27年，而台灣第一檔ETF元大台灣50（代號0050）於2003年台灣正值 SARS 時誕生。近年來ETF市場蓬勃發展，截至110年7月30止，總計發行數已逾兩百多檔。ETF 為何在台灣如此獲投資人青睞？筆者觀察，台灣投資人偏好主動投資，自行管理，但該類族群現已面臨退休或老化階段，尤其在歷經 2008 年金融危機之後投資觀念也出現轉變。也因為市場變化快速，大盤已不若以往容易預測被動型投資因運而生。而ETF此類被動型投資恰好有低進入門檻、風險分散與手續和管理費用低等好處，因此在成本效益上，提供一個相當有利的投資方式。
惟隨ETF的交易熱絡也衍伸出許多特別的現象。本人從事期貨信託基金的銷售，經歷投資人對於期貨ETF的盲目追逐造成市場折溢價偏離，Zweig(1973)早就指出，封閉式基金的溢價和折價似乎傳達了錯誤的定價資訊。因此本研究藉行為財務學的四種行為偏向如何影響臺灣ETF的折價和溢價，藉以了解發生因素進而提供解決辦法。台灣在ETF市場還需要再提升相關金融素養，例如期貨公會正研擬投資人於期貨信託基金申購前須完成問券測驗；又如ETF市場的發行限額法規得以取消，業者將有更大的揮灑空間，並在保護投資人的前提供投資人多樣化的商品選擇。
ETF was invented for about 27 years，and the first ETF in Taiwan is Yuanta Taiwan Top 50 ETF (Codename:0050) which was established in 2003 when Taiwan was SARS. The ETF market has boomed in recent years，the total issued number has exceeded two hundred files as of July 30, 110. Why are ETFs so popular among investors in Taiwan? Author observation, Taiwanese investors prefer to invest actively, but this group is now facing retirement or aging., investment concepts have also changed especially after the 2008 financial crisis. But due to the rapid changes, the market is no longer as predictable as it used to be. Therefore, passive investment occurs. ETFs have a low barrier to entry, benefits of risk diversification and low procedures and management costs, so in terms of cost-effectiveness, ETFs provide a very advantageous investment method.
However, with the enthusiasm of ETFs trading, many special phenomena have emerged. I am engaged in the sale of futures ETFs, and I have experienced investors’ blind pursuit of futures ETFs, causing market discounts and premiums to deviate. Zweig (1973) has long pointed out that the premiums and discounts of closed-end funds seem to convey wrong pricing information. Therefore, this study uses how the four behavioral biases of behavioral finance affect the discounts and premiums of Taiwan ETFs, in order to understand the factors and provide solutions. Taiwan needs to improve related financial literacy in the ETF market. For example, the Futures Association is studying a plan for investors to complete a questionnaire test before applying for futures ETFs. Another example is the cancellation of the issuance limit regulations in the ETF market, and the industry will have more room to sway, and provide investors with diversified product choices before protecting investors. |
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| Description: | 碩士
國立政治大學
經營管理碩士學程(EMBA)
107932142 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0107932142 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202101378 |
| Appears in Collections: | [經營管理碩士學程EMBA] 學位論文
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