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研究生:吳佩盈
研究生(外文):Wu Pei Ying
論文名稱:指數股票型基金(ETF)與開放型股票基金(OEF)替代或互補關係之探討
論文名稱(外文):A Study of Substitutability or Complementaritybetween Exchange Traded Funds and Open-EndMutual Funds
指導教授:呂昭顯呂昭顯引用關係
指導教授(外文):Lu Chao Hsien
學位類別:碩士
校院名稱:南台科技大學
系所名稱:企業管理系
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2010
畢業學年度:98
語文別:中文
論文頁數:56
中文關鍵詞:指數股票型基金(ETF)開放型股票基金(OEF)替代關係互補關係
外文關鍵詞:Exchanged Traded Fund (ETF)Open-end Mutual Fund (OEF)SubstitutionComplement
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Exchanged Traded Funds(ETF)稱為「指數股票型證券投資信託基金」,通常
簡稱「指數股票型基金」,乃是追蹤標的指數變化並在證券交易所上市交易的基
金。ETF 性質上兼具基金及股票特性,且有「指數證券化」與「實物申購、實物
買回」的創新機制。由於ETF 與開放型股票基金(Open-End Mutual Funds,OEF)
投資方式類似,對投資人而言均具有分散風險之特性,故本研究探討ETF 與OEF
兩者之間是否具有替代或互補關係。因ETF 漲跌趨近於大盤或產業走勢,對於個
股具有抗跌性,ETF 在股市多頭或空頭時還可利用多樣化投資標的,兼具可多、
可空、可槓桿的交易優勢,因此研究中亦檢視在股市多頭與空頭期間,二者之間
的替代或互補關係是否有所變化。此外,由於寶來台灣卓越50 證券投資信託基金
(Polaris Taiwan Top 50 Tracker Fund,TTT)為國內第一檔且規模顯著較大之ETF,
因此分別研究以寶來台灣卓越50 與其他十檔ETF 對於OEF 替代或互補關係是否
有差異。
研究發現ETF 與OEF 之間具有替代關係,且空頭時期此關係更加強烈,顯示
投資人在景氣不佳時偏好低風險之ETF。而進一步研究結果,寶來台灣卓越50
(TTT)對於OEF 有替代關係;而其他十檔ETF 對於OEF 則是互補關係。
“Exchanged Traded Funds (ETFs)” are referred to as “Exchange-traded Securities
Investment Trust Funds” which track the underlying index changes, and are traded on
the Stock Exchange. ETFs combine the feathers of funds and stocks, and have the
innovation mechanisms of “Index Securitization” and “In-kind Creations and In-kind
Redemptions”. This study examines the substitution effect between the two similar
investment vehicles: exchange-traded funds (ETFs) and open-end mutual funds (OEFs).
The changes of ETFs are close to the market or industry trends, leading to the defensive
for individual stocks. In addition, during bull market or bear market periods, ETFs can
use the diversification of investment objectives with trading advantages, which can be
long, can be short, and can be leveraged. Therefore, this study investigates whether the
substitution/complement relations between ETFs and OEFs are changed during bull
market and bear market. Furthermore, the Polaris Taiwan Top 50 Tracker Fund (TTT) is
an ETF with top rank in terms of market capitalization in Taiwan. The
substitution/complement effects for TTT and other 10 ETFs in Taiwan with OEFs were
also investigated, respectively.
The study finds that ETFs and OEFs are substitution relations which are more
notable during bear market. The result indicates that investors prefer to choose ETFs
with low risk during the depression. Furthermore, the results show that TTT and OEFs
are substitution relation. However, the other 10 ETFs and OEFs are complement
relation.
摘 要............................................................................................................................. i
Abstract ............................................................................................................................. ii
致 謝...........................................................................................................................iii
目 次........................................................................................................................... iv
表目錄............................................................................................................................. vi
圖目錄............................................................................................................................vii
第一章 緒論.................................................................................................................... 1
1.1 研究背景........................................................................................................... 1
1.2 研究動機與目的............................................................................................... 2
1.2.1 研究動機................................................................................................ 2
1.2.2 研究目的................................................................................................ 3
1.3 研究架構........................................................................................................... 4
第二章 文獻探討............................................................................................................ 5
2.1 指數股票型基金(ETF)的介紹.................................................................... 5
2.1.1 ETF 的意義與市場運作......................................................................... 5
2.1.2 ETF 特性與優點..................................................................................... 7
2.1.3 ETF 起源與發展................................................................................... 10
2.2 國內ETF 的發展與現況.............................................................................. 14
2.3 ETF 與開放型股票基金............................................................................... 16
2.3.1 ETF 與開放型股票基金(OEF)之比較............................................ 16
2.3.2 主動式投資管理與被動式投資管理之比較...................................... 18
2.4 相關文獻探討............................................................................................... 24
2.4.1 基金流量.............................................................................................. 24
2.4.2 替代效果.............................................................................................. 26
第三章 研究方法.......................................................................................................... 28
3.1 資料選取......................................................................................................... 28
3.2 研究方法......................................................................................................... 30
3.3 實證模型與變數定義..................................................................................... 32
3.3.1 基金流量.............................................................................................. 32
3.3.2 替代效果.............................................................................................. 32
v
第四章 實證分析.......................................................................................................... 35
4.1 實證結果......................................................................................................... 35
4.1.1 敘述性統計與相關矩陣...................................................................... 35
4.1.2 OEF 與ETF 淨資產總額之比較.......................................................... 37
4.2 ETF 與OEF 之替代/互補關係(全部樣本)............................................. 38
4.3 ETF 與OEF 之替代/互補關係(多頭期間)............................................. 40
4.4 ETF 與OEF 之替代/互補關係(空頭期間)............................................. 42
4.5 台灣卓越50(TTT)與OEF 之替代/互補關係........................................ 44
4.6 TTT 以外十檔ETF 與OEF 之替代/互補關係............................................ 46
第五章 結論與建議...................................................................................................... 49
5.1 結論................................................................................................................. 49
5.2 建議................................................................................................................. 50
參考文獻........................................................................................................................ 51
附 錄............................................................................................................................ 53
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