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研究生:彭小芬
研究生(外文):Hsiao-Fen Peng
論文名稱:放空型ETF追蹤誤差之探討
論文名稱(外文):Tracking Error for The Short ETF
指導教授:楊聲勇楊聲勇引用關係
學位類別:碩士
校院名稱:國立中興大學
系所名稱:高階經理人碩士在職專班
學門:商業及管理學門
學類:其他商業及管理學類
論文種類:學術論文
畢業學年度:97
語文別:中文
論文頁數:74
中文關鍵詞:放空型ETF指數型股票基金追蹤誤差
外文關鍵詞:Short ETFExchange Traded FundTracking Error
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在百年難得一見之金融海嘯的發生,在如此動盪詭譎的投資市場,使得過去幾年來已習慣「作多」的投資人幾乎無所適從,目前全球各國金融處於熊市,投資人也苦無投資工具能在此股市低迷之時尚能賺取獲利,過去在金融市場空頭時投資人透過放空指數期貨、選擇權方式來作空。在2006年7月,美國市場首次出現了八檔放空型ETF,在市場空頭時反而可獲利,ETF有一個很重要的特色是追蹤指數表現,指數通常波動率較個股低,對一些喜歡承擔高風險以獲取高報酬的投資人缺乏吸引力,槓桿型ETF具有放大指數報酬率的效果,因此可以吸引這類型的投資人。另外對於想要做空的投資人,一般的做法是直做空指數期貨或放空傳統型的ETF,這兩種放空的做法都有一些限制,例如做空期貨是用保證金交易,有保證金追繳和到期結算的問題;直接放空傳統型的ETF除了有提存擔保品的問題之外,有時也有借券來源不足的可能,放空型的ETF可以克服這些問題,提供有做空需求的投資人另一個選擇。
ETF(Exchange Traded Fund) has been a popular investment product for investors expecting that the market is going to be a bullish market in the future, but what if investors expecting that the market is going to be bearish? The most often investment strategic for market participants to plan is to go into the derivative market, long a market index short option, short a market index call option, short market index futures etc. By doing so, investors will run into greater risk because derivative market is high leverage and investors may receive margin call. We can also short ETFs to earn returns when we expect that the market is going to be a bearish market, but there sill exist some limitations to short ETFs. The short ETFs is a kind of new investment product and can overcome the defects above. The short ETFs is like the traditional ETFs but the short ETFs is trying to track the market returns opposite. If the market returns goes up 3%, the short ETFs goes down 3%. This paper is trying to focus on the tracking errors of the short ETFs, we found that there has been good tracking performance of the short ETFs. We also found that the two main variables ----- previous day tracking error and previous day market trading volume have significant effects on the short ETFs tracking errors.
第一章 序論 1
第一節 研究背景與動機 1
第二節 研究目的 2
第三節 指數股票型基金發展歷史 2
第二章 文獻回顧 4
第三章 研究方法 6
第一節 樣本與資料來源 6
第二節 放空型ETF與其標的市場指數之相關BETA 7
第三節 TRACKING ERROR之計算 7
第四節 影響TRACKING ERROR之迴歸模型 8
第四章 實證分析 8
第一節 放空型ETF與其標的市場指數之相關敘述統計 9
第二節 TRACKING ERROR之實證 10
第三節 影響TRACKING ERROR之迴歸實證結果 12
第五章 結論 15
參考文獻 17
中文部份 17
英文部份 17
中文部份
1.黃柏農 (1998),「台灣的股價與總體變數之間的關係」。證券巿場發展季刊,第十卷第四期,頁89-109。
2.楊晴華 (2000),「影響股巿波動因素之研究─以台灣股巿為例」,國立中正大學企業管理研究所碩士論文。
3.劉馨薇 (2002),「總體經濟變數及重大事件對中國大陸股市之影響」,國立成功大學企業管理學系碩士論文。
4.林文元(2008),「放空型ETF的評價」,國立交通大學經營管理研究所碩士論文
英文部份
1.Ammann, M., Zimmermann, H., (2001), Arbitrage and Valuation in the Market for Standard and Poor’s Depository Receipts, Financial Management, 29, 71-78
2.Blume, M., Edelen, R. (2004), S&P 500 Indexers, Tracking Error, and Liquidity, Journal of PoETFolio Management, Vol. 30(3): 37-46
3.Clash,J.M., (2007), Build Your Own Hedge Fund, Forbes, 179, 82-84
4.Dellva, W. (2001), Exchange-Traded Funds Not for Everyone, Journal of Financial Planning, Vol. 14(4):pp110-124
5.Elton, E., Gruber, M., Comer, G., Li, K. (2002), Spiders: Where are the Bugs?, Journal of Business, Vol. 75(3):pp453-472
6.Elton, E., Gruber, M., Busse, J. (2004), Are Investors Rational? Choices Among Index Funds, Journal of Finance, Vol. 59(1): pp261-288
7.Frino, A., Gallagher, D. (2001), Tracking S&P 500 Index Funds, Journal of PoETFolio Management, Vol. 28(1):pp44-55
8.Frino, A., Gallagher, D. (2002), Is Index Performance Achievable?: An Analysis of Australian Equity Index Funds, Abacus, Vol. 38(2): pp200-214
9.Frino, A., Gallagher, D., Neubert, A., Oetomo, T. (2004), Index Design and Implications for Index Tracking:
10.Evidence from S&P 500 Index Funds, Journal of PoETFolio Management, Vol. 30(2): pp89-95
11.Frino, A., Gallagher, D., Oetomo, T. (2005), The Index Tracking Strategies of Passive and Enhanced Index Equity Funds, Australian Journal of Management, Forthcoming
12.Fuhr, D. (2001), Exchange-Traded Funds: A Primer, Journal of Asset Management, Vol. 2(3): pp260-273
13.Gallagher, D., Segara, R., The performance and trading characteristics of exchange-traded funds, Working Paper
14.Gastineau, G. (2001), Exchange-Traded Funds: An Introduction, Journal of PoETFolio Management, Vol. 27(3): pp88-96
15.Gastineau, G. (2002), Equity Index Funds Have Lost Their Way, Journal of PoETFolio Management, Vol. 28(2): pp55-64
16.Gastineau, G. (2004), The Benchmark Index ETF Performance Problem, Journal of PoETFolio Management, Vol.30(2): pp96-104
17.Hehn, E.,(2005), ETF – A leading Financial Innovation, Exchange Traded Funds, Berlin Springer, 7-19
18.Olienyk J.P, Schwebach R.G, Kenton Zumwalt J(1999), WEBS, SPDRs, and Country Funds: An Analysis of International Cointegration, Journal of Multinational Financial Management, Vol. 9, pp217-232(16)
19.Jares, T., Lavin, A. (2004), Japan and Hong Kong Exchange-Traded Funds (ETF): Discounts, Returns, and Trading Strategies, Journal of Financial Services Research, Vol. 25(1): pp57-69
20.Keim, D. (1999), An Analysis of Mutual Fund Design: The Case of Investing in Small-Cap Stocks, Journal of Financial Economics, Vol. 51(2): pp173-194
21.Kostovetsky, L. (2003), Index Mutual Funds and Exchange-Traded Funds, Journal of PoETFolio Management, Vol. 29(4): pp80-92
22.Larsen, G., Resnick, B. (1998), Empirical Insights on Indexing, Journal of PoETFolio Management, Vol. 25(1): pp51-60
23.Pope, P., Yadav, P. (1994), Discovering Errors in Tracking Error, Journal of PoETFolio Management, Vol. 20(2): pp27-32
24.Roll, R. (1992), A Mean/Variance Analysis of Tracking Error, Journal of PoETFolio Management, Vol. 18(4): pp13-2
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