标题: 放空型ETF的评价
The Evaluation of the Short ETFs
作者: 林文元
Wen-Yuan Lin
周雨田
Ray Yeu-Tien Chou
经营管理研究所
关键字: 指数型股票基金;追踪误差;避险绩效;一般化自我相关条件异质变异模型;动态条件相关系数模型;ETF;Tracking Errors;Hedging Performance;GARCH Model;DCC Model
公开日期: 2007
摘要: 本篇文章使用一般化自我相关条件异质变异模型(Generalized Autoregressive Conditional Heteroscedasticity ; GARCH)以及动态条件相关系数模型(Dynamic Conditional Correlation ; DCC)来对放空型指数股票型基金(Exchanged-Traded Fund ; ETF)的追踪误差和避险绩效进行评价。本文发现对于同一指数的放空和双倍放空ETF的追踪误差而言,道琼工业平均指数以及标准普尔中型企业400的放空型ETF比起双倍放空ETF有较小的追踪误差,相反的,标准普尔的双倍放空ETF比放空型ETF有较佳的追踪能力。而在不同指数间的比较上,那斯达克100的放空型ETF与标准普尔中型企业400的双倍放空型ETF有最大的追踪误差。本文也证实了指数与ETF报酬间的不完全相关会产生ETF的追踪误差。在产生追踪误差的因素上,我们发现由于ProShares在操作双倍放空ETF时使用了较多的指数期货,因此如同预期,实证结果也显示出标准普尔以及标准普尔中型企业400此两种指数的双倍放空ETF的追踪误差比起放空ETF的追踪误差更容易受到指数期货的波动所影响,此外,本文也观察到放空和双倍放空ETF的追踪误差会随着交易量的增加而上升。最后,我们比较了放空以及双倍放空型ETF的避险绩效,对于道琼工业平均指数以及标准普尔中型企业400而言,放空型ETF比起双倍放空ETF有较佳的避险绩效,而标准普尔的双倍放空ETF比起放空型ETF有较好的避险绩效。在跨指数的比较中,标准普尔中型企业400的放空型ETF与标准普尔的双倍放空ETF 拥有最好的避险绩效。这些结果可以作为投资人在投机交易以及避险上的一个参考依据。
Based on the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) of Bollerslev (1986) and the Dynamic Conditional Correlation (DCC) Model of Engle (2002), we investigate the tracking errors and the hedging effectiveness of each short ETF. We find that when it comes to tracking errors of Short/UltraShort ETFs related to the same benchmark, the Short ETFs of DJIA and S&P400 MidCap outperform the UltraShort ETFs of these two indices. On the contrary, the UltraShort ETF of S&P500 has the better tracking ability than the Short ETF of the S&P500. As for the cross indices comparison, the Short ETF of NASDAQ100 is the worst on tracking performance in the group of Short ETFs while the MZZ has the worst tracking ability in the group of UltraShort ETFs. Furthermore, we also examine the relationship between tracking errors and volatilities of their related index futures as well as that between tracking errors and trading volumes. We conclude that the tracking errors of DOG and DXD are affected almost equally by the volatilities of DJIA index futures while the volatilities of S&P500 (S&P400 MidCap) index futures have more influences on the tracking errors of SDS (MZZ) than on those of SH (MYY). These results coincide with the facts that the ProShares uses more index futures on UltraShort ETFs than on Short ETFs. We also find that over-trading on the shot ETFs may lead to larger tracking errors, and this effect is quite obvious regarding MYY and MZZ. Finally, we research the hedging performance of each short ETFs. We find that Short ETFs outperform UltraShort ETF when DJIA and S&P400 MidCap are concerned while the UltraShort (SDS) ETF of S&P500 has the better hedging performance than SH. Besides, the MYY has the best hedging performance among the Short ETFs when SDS has the best hedging effectiveness among the UltraShort ETFs.
URI: http://140.113.39.130/cdrfb3/record/nctu/#GT009537538
http://hdl.handle.net/11536/39320
显示于类别:Thesis


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