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研究生:陳昱升
研究生(外文):Yu-Sheng Chen
論文名稱:上海證券流動性之最適衡量方法檢測-以華夏上證50 ETF為例
論文名稱(外文):The Most Optimal Measurement Method of ETF Liquidity - Evidence from ChinaAMC China 50 ETF
指導教授:陳雪如陳雪如引用關係李超雄李超雄引用關係
指導教授(外文):Hsueh-Ju ChenChao- Xiong Lee
口試委員:王致怡
口試委員(外文):Zhi-Yi Wang
口試日期:2017-05-19
學位類別:碩士
校院名稱:國立中興大學
系所名稱:會計學研究所
學門:商業及管理學門
學類:會計學類
論文種類:學術論文
論文出版年:2017
畢業學年度:105
語文別:中文
論文頁數:38
中文關鍵詞:中國上證50ETF波動度報酬率流動性Martin 流動性比率Amihud 流動性不足比率Chacko(2016)
外文關鍵詞:VolatilityReturnLiquidityMartin ratioAmihud illiquidity ratioChacko (2016)
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1993年, SPDR S&P 500 ETF在美國上市,揭開了ETF發展的序幕。市場也持續推出創新商品,從股票型ETF漸漸發展出債券、房地產、黃金及匯率等各種類別之ETF。發展如此迅速的關鍵為ETF具有市場流動性(Liquidity)。本研究利用報酬率來代表ETF之流動性並利用Parkinson(1980)波動度(Volatility)當作報酬之代理變數,並透過三種流動性指標 (1) Martin 流動性比率(2) Amihud 流動性不足比率(3)流動性不足比率-選擇權法等不同的流動性衡量指標來計算中國上證50ETF之流動性,並使用2005至2016年共12年之研究期間為樣本資料來進行迴歸。本研究利用自我回歸移動模型(ARMA(4,1))進行樣本內預測何種為最適衡量中國上證50ETF流動性之方法,並用樣本外預測來驗證該法。實證結果顯示,不管是樣本內還是樣本外預測,在波動度日資料之預測上皆得到選擇權法-流動性不足比率其預測能力為最高,顯示選擇權法-流動性不足比率在中國上證50ETF有良好之預測能力。
In 1993, SPDR S&P 500 ETF listed in the United States and it was the beginning of ETF .The market continues to introduce innovative ETF products from stock ETF to bonds, real estate, gold and exchange rates and others . The key ETF developes so rapid is all because of its good return and market liquidity. Therefore, in this study, we use rate of return and use Parkinson(1980) volatility as the proxy variable for the rate of return to see the liquidity of the ETF . This paper use three liquidity indicators (1) Martin liquidity ratio (2) Amihud illiquidity ratio and (3) illiquidity ratio – options method to calculate the liquidity of China''s SSE50ETF. This paper use autoregressive moving average model(ARMA) to test the most optical measurement for the liquidity of China''s SSE50ETF. This paper draw a conclusion that no matter what result in in-of-sample forecasting but in out-of-sample forecasting, the most optimal measurement method is the illiquidity ratio – options method in China''s SSE50ETF .
第一章 緒論 1
第一節 研究背景 1
第二節 研究動機 2
第三節 研究目的 3
第四節 研究架構 3
第二章 中國上證ETF之概述 5
第一節 ETF之基本介紹 5
第二節 中國ETF之相關法規 10
第三節 中國、台灣之法規比較 12
第三章 文獻探討 13
第一節 籃子證券影響其標的證券流動性之學說 13
第二節 流動性與報酬之文獻 14
第三節 流動性衡量方法之探討 15
第四章 測量ETF流動性之研究方法 18
第一節 樣本範圍與資料來源 18
第二節 變數定義與衡量 18
第三節 極端值之刪除 20
第四節 建立模型 21
第五章 實證結果與分析 25
第一節 敘述性統計 25
第二節 單根檢定 26
第三節 建立ARMA模型 27
第四節 模型預測之比較 30
第六章 研究結論與研究建議 32
第一節 研究結論 32
第二節 研究限制與未來研究方向 32
第三節 研究貢獻 32
參考文獻 34
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