臺灣證券交易所掛牌ETFs之追蹤誤差

Abstract

指數股票型基金的目的在於複製標的指數的報酬，本篇論文分析臺股、陸股和港股ETFs的追蹤誤差，並將追蹤誤差分為定價誤差與模擬誤差兩部分討論。首先拆解並衡量造成ETFs追蹤誤差的成分因素，分別探討成本費用、現金股利是否會顯著影響ETFs一個月的累積追蹤誤差；ETFs的複製方式、投資標的所在地區是否顯著影響ETFs追蹤誤差，並且透過比較槓桿、反向和一般傳統ETFs，討論槓桿、反向ETFs是否存在較高的追蹤誤差，再單獨就陸股ETFs觀察指數成分股停牌對ETFs追蹤誤差的影響程度；最後將所有影響ETFs追蹤誤差的因素放入同一個模型當中，比較各別的影響程度。 本文發現ETFs的成本管理費用和發放現金股利皆會顯著的影響累積定價誤差和累積模擬誤差。在複製方式方面，採用完全複製法之ETFs擁有較小的追蹤誤差，而合成ETFs的追蹤誤差較大。平均而言，陸股ETFs和港股ETFs的追蹤誤差皆高於臺股ETFs，其中陸股ETFs的模擬誤差顯著高於港股ETFs的模擬誤差，而定價誤差則以港股較大，可能原因為港股ETFs的流動性不足。槓桿、反向ETFs的追蹤誤差皆較一般傳統ETFs大，其中反向ETFs的定價誤差較大，而槓桿ETFs的模擬誤差較大。陸股ETFs標的指數的停牌權重顯著影響其模擬誤差，而並無影響其定價誤差，推測原因為在臺灣上市的陸股ETFs除了持有該檔指數成分股外，亦額外持有其他期貨部位，使得停牌權重對於ETFs的定價誤差影響有限。

The purpose of Exchange Traded Funds is replicating the underlying index return, this paper analyzes the tracking error of Taiwan stock ETFs, China stock ETFs, and Hong Kong stock ETFs. I divide the tracking error into two parts－the pricing error and the replication error, and discuss them. The study firstly measures the components of tracking error and discussing how costs and cash dividends affect the monthly cumulative tracking error. Secondly, I discuss how different replication methods and different investment areas (Taiwan, China, or Hong Kong) affect the tracking error of ETFs. Moreover, the paper compares tracking performance of leveraged ETFs, inverse ETFs, and traditional ETFs. Third, I observe the influence of the weight of stocks being halted for trading on the ETFs tracking error. Finally, we include all influential factors in one model and compare their impact on the ETF tracking error. The results show that the costs and cash dividends affect the one month cumulative tracking error significantly. In terms of replication methods, the ETFs using the full replication method have the smallest tracking errors, whereas the ETFs using synthetic simulation method have the largest tracking errors. In average, tracking error of China and Hong Kong stock ETFs are greater than that of the Taiwan stock ETFs. Hong Kong stock ETFs have the largest pricing errors, and China stock ETFs have the largest replication error. Leveraged ETFs and inverse ETFs have greater tracking errors than traditional ETFs, all because of the larger replication error for leveraged ETFs and the pricing error for inverse ETFs. The weight of halted stocks in ETFs significantly affects the replication error only because the China stock ETFs traded in Taiwan are often replicated by holding futures positions in addition to the index constituent stocks.