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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/99541


    Title: 槓桿型指數股票型基金追蹤誤差之研究
    An Investigation of Tracking Errors of Leverage ETFs
    Authors: 林琦惟
    Contributors: 岳夢蘭
    林琦惟
    Keywords: 槓桿型ETF
    追蹤誤差
    Date: 2016
    Issue Date: 2016-08-02 15:59:06 (UTC+8)
    Abstract: 本文研究分為兩個部分。第一部分以全球發行追蹤標的為各國加權指數之兩倍槓桿型ETF為研究樣本，探討各槓桿型ETF發行日起至2016年3月間ETF的追蹤誤差。再者，分析槓桿型ETF之個別績效，以槓桿型ETF報酬率與追蹤標的指數報酬率差異之絕對值作為追蹤誤差之衡量，各槓桿型ETF平均之追蹤誤差在0.01到2.96個基本點，在45檔槓桿型ETF中，有24檔槓桿型ETF在10%顯著水準下異於零。第二部分進一步分析在10%顯著水準下顯著異於0之槓桿型ETF，造成其追蹤誤差的原因， 研究結果顯示，總費用率、匯率變動率、資產規模變動率、成交量變動率、標的指數成分股數、追蹤標的之地區等原因皆與追蹤誤差皆顯著影響槓桿型ETF追蹤誤差的大小。
    Reference: Aber, J. W., Li, D., & Can, L. (2009). Price volatility and tracking ability of ETFs. Journal of Asset Management, 10(4), 210-221.
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    Avellaneda, M., & Zhang, S. (2010). Path-dependence of leveraged ETF returns. SIAM Journal on Financial Mathematics, 1(1), 586-603.
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    Hehn, E. (2005). Review: Facts & Figures on ETFs. In Exchange Traded Funds (pp. 143-151). Springer Berlin Heidelberg.
    Jarrow, R. A. (2010). Understanding the risk of leveraged ETFs. Finance Research Letters, 7(3), 135-139.
    Lu, L., Wang, J., & Zhang, G. (2009). Long term performance of leveraged ETFs. Available at SSRN 1344133.
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    Short&Leveraged ETFs/ETPs Global Flows Report, Retrieved December,31,215, from: http://www.boostetp.com
    元大寶來投信，2014。創世紀產品 槓桿反向ETF。台灣：經濟日報。
    Description: 碩士
    國立政治大學
    財務管理研究所
    103357023
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0103357023
    Data Type: thesis
    Appears in Collections:[Department of Finance] Theses

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