标题: | 台湾证券交易所挂牌ETFs之追踪误差 The tracking error of ETFs in Taiwan |
作者: | 陈亭亭 谢文良 Chen, Ting-Ting Hsieh, Wen-Liang 财务金融研究所 |
关键字: | ETFs;追踪误差;成本费用;现金股利;杠杆/反向ETFs;停牌;ETFs;Tracking Error;Costs;Cash Dividends;Leveraged/Inverse ETFs;halted Stocks |
公开日期: | 2016 |
摘要: | 指数股票型基金的目的在于复制标的指数的报酬,本篇论文分析台股、陆股和港股ETFs的追踪误差,并将追踪误差分为定价误差与模拟误差两部分讨论。首先拆解并衡量造成ETFs追踪误差的成分因素,分别探讨成本费用、现金股利是否会显着影响ETFs一个月的累积追踪误差;ETFs的复制方式、投资标的所在地区是否显着影响ETFs追踪误差,并且透过比较杠杆、反向和一般传统ETFs,讨论杠杆、反向ETFs是否存在较高的追踪误差,再单独就陆股ETFs观察指数成分股停牌对ETFs追踪误差的影响程度;最后将所有影响ETFs追踪误差的因素放入同一个模型当中,比较各别的影响程度。 本文发现ETFs的成本管理费用和发放现金股利皆会显着的影响累积定价误差和累积模拟误差。在复制方式方面,采用完全复制法之ETFs拥有较小的追踪误差,而合成ETFs的追踪误差较大。平均而言,陆股ETFs和港股ETFs的追踪误差皆高于台股ETFs,其中陆股ETFs的模拟误差显着高于港股ETFs的模拟误差,而定价误差则以港股较大,可能原因为港股ETFs的流动性不足。杠杆、反向ETFs的追踪误差皆较一般传统ETFs大,其中反向ETFs的定价误差较大,而杠杆ETFs的模拟误差较大。陆股ETFs标的指数的停牌权重显着影响其模拟误差,而并无影响其定价误差,推测原因为在台湾上市的陆股ETFs除了持有该档指数成分股外,亦额外持有其他期货部位,使得停牌权重对于ETFs的定价误差影响有限。 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. |
URI: | http://etd.lib.nctu.edu.tw/cdrfb3/record/nctu/#GT070353910 http://hdl.handle.net/11536/143462 |
显示于类别: | Thesis |