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研究生:呂家豪
研究生(外文):Liu, Jia-Hau
論文名稱:The Performance and Persistence of Commodity Exchange Traded Funds: Evidence for Gold ETFs
論文名稱(外文):The Performance and Persistence of Commodity Exchange Traded Funds: Evidence for Gold ETFs
指導教授:Chu, Yueh-Chung
指導教授(外文):Chu, Yueh-Chung
學位類別:碩士
校院名稱:南台科技大學
系所名稱:商管專業學院
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
論文出版年:102
畢業學年度:101
語文別:英文
論文頁數:46
中文關鍵詞:Commodity Exchange Traded Funds, performance, persistenceCommodity Exchange Traded Funds, performance, persistenceCommodity Exchange Traded Funds, performance, persistence
外文關鍵詞:Commodity Exchange Traded Funds, performance, persistenceCommodity Exchange Traded Funds, performance, persistenceCommodity Exchange Traded Funds, performance, persistence
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This research examines the performance and persistence of gold exchange-traded funds (ETFs) over the period March 2011 to March 2013. Our sample includes the traditional gold ETFs and the innovative gold ETFs. The result shows that the performance in gold ETFs have varied in each other. But there is no significant difference between the traditional and innovative gold ETFs. Then, we examine the predictability of performance and risk under different periods: short-term and long-term. The empirical result shows that both performance and risk variables have the same predictability in t-statistics which indicate the statistically significant more than 1 % level. We found the relational reversion appear clearly in holding period of 120 days and 1 year for performance variable but for variable of risk, there is inconsistent consequence in each gold ETFs. For the persistence of performance and risk in gold ETFs under short-term and long-term, the result shows that the persistence of performance and risk existed strongly in gold ETFs within 3 years. The values of Spearmen correlation are almost 1.
This research examines the performance and persistence of gold exchange-traded funds (ETFs) over the period March 2011 to March 2013. Our sample includes the traditional gold ETFs and the innovative gold ETFs. The result shows that the performance in gold ETFs have varied in each other. But there is no significant difference between the traditional and innovative gold ETFs. Then, we examine the predictability of performance and risk under different periods: short-term and long-term. The empirical result shows that both performance and risk variables have the same predictability in t-statistics which indicate the statistically significant more than 1 % level. We found the relational reversion appear clearly in holding period of 120 days and 1 year for performance variable but for variable of risk, there is inconsistent consequence in each gold ETFs. For the persistence of performance and risk in gold ETFs under short-term and long-term, the result shows that the persistence of performance and risk existed strongly in gold ETFs within 3 years. The values of Spearmen correlation are almost 1.
Contents
Abstract ii
Acknowledgement iii
Chapter 1 Introduction 1
1.1 The Research Background 1
1.2 The Research Motivation 2
1.3 Research Objective 3
1.4 Research Process and Structure 4
Chapter 2 Literature Review 6
2.1 The Introduction of ETFs 6
2.2 Gold ETFs 7
2.3 Leveraged ETFs 7
2.4 The Performance of Mutual Funds 8
2.5 The Performance Persistence of Mutual Fund 9
Chapter 3 Research Method 13
3.1 Data 13
3.2 Empirical Model and Variable Definition 13
3.2.1 The Model of Performance of Gold ETFs 13
3.2.2 Bootstrap Approach 14
3.2.3 The Persistence and Predictability in Performance and Risk of Gold ETFs 16
Chapter 4 Empirical Result 18
4.1 The Performance of Gold ETFs 18
4.1.1 Fund Sample and Descriptive Statistics 18
4.1.2 The Performance of Gold ETF 18
4.1.3 Comparison the Performance in Different kind of Gold ETFs 20
4.2 Predictability of Performance and Risk in Gold ETFs 21
4.2.1 Prediction of Return in Gold ETFs 21
4.2.2 The Predictability of Risk in Gold ETFs 25
4.3 Persistence of Performance and Risk in Gold ETFs 27
4.3.1 The Persistence of Performance in Gold ETFs 27
4.3.2 The Persistence of Risk in Gold ETFs 28
Chapter 5 Conclusion 29
5.1 Discussion 29
5.2 Limitations of Research 30
5.3 Extension 30
Reference 31
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11.Ibbotson, Roger G. and Patel, Amita K (2002)., "Do Winners Repeat with Style?", Working Paper, Yale ICF, No. 00-70.

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13.Lanfeng, Anlin, Yu-Hsin, and Cheng-Shou (2007), "Good luck or good strategy? : bootstrapped mutual fund performance", Journal of Management and Systems,Vol.14, 341-358.

14.Malkiel, B. G. (1995), “Return from investing in equity mutual funds 1971 to 1991, ”Journal of Finance, Vol.50, 549-572

15.Rompotis, G. G.(2005).“An Empirical Comparing Investigation on Exchange Traded Funds and Index Funds Performance.”Working paper, University of Athens, Athens, Greece.

16.Turunen, Joonas.( 2008),“ Equity index funds and ETF’s: Performance comparison between passive investing alternatives.” Kandidaattitutkielma. Lappeenrannan Teknillinen Yliopisto. Lappeenranta.

17.Tzu-Wei KUO and Cesario MATEUS(2006), “The Performance and Persistence of Exchange-Traded Funds : Evidence for iShares MSCI country-specific ETF”,University of Greenwich Business School, Department of Accounting and Finance London, United Kingdom.

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