臺灣博碩士論文加值系統

證券市場之流動性對整個投資市場而言扮演著十分重要的角色。歷經2008年的金融海嘯及2011年的歐債危機，ETF因其產品被動投資之特性，逐成為市場上蓬勃發展之金融商品。過去許多學者提出衡量流動性之方法，本研究利用周轉率、Amihud流動性不足指標、Amivest流動性比率、選擇權法來探討台指50ETF之流動性，本研究係以Parkinson高低價波輻因子做為研究基礎，並採簡單迴歸法為實證方式，發現周轉率相較於其他三者預測穩健性較高，非常適合應用於台灣市場之台指50 ETF流動性之預測

This study examines which is best measurement method of ETF liquidity ,taking FTSE TWSE Taiwan 50 Index as an Example.The liquidity of the financial market plays a very important role in the whole market. After the 2008 financial crisis and the 2011 European debt crisis, because of its product passive investment characteristics, ETF gradually flourish in the financial market.
In the past, many scholars have proposed the method of measuring liquidity. In this study, we use the turnover rate, Amihud liquidity ratio, Amivest liquidity ratio, option ratio,Which is based on the flow rate of 50ETF. This study is based on the Parkinson high and low price volatility factor and the simple regression method is used as the empirical method. It is found prediction outcome that the turnover rate is the most optimal of the four methods, and it is very suitable for Taiwan market refers to the 50 ETF liquidity forecast

目錄
第一章、緒論 1
第一節、研究背景與動機 1
第二節、研究目的 3
第三節、研究架構 3
第二章、相關文獻探討 4
第一節、ETF之理論基礎與發展 4
第二節、流動性相關探討 9
第三章、資料來源、變數定義及研究方法 12
第一節、資料來源 12
第一節、變數定義 12
第三節、研究方法 14
第四章、實證結果 18
第一節、敘述性統計 18
第二節、定態檢定及殘差項自我相關檢定 19
第三節、迴歸模型之預測 22
第五章、結論與建議 25
第一節、結論 25
第二節、限制與後續研究建議 25
參考文獻 26

表目次
表4-1 敘述性統計表 19
表4-2 ADF檢定表 20
表4-3 最適落後期數之判斷 20
表4-4 周轉率落後期數之Q檢定 20
表4-5 Amihud流動性不足指標落後期數之Q檢定 21
表4-6 Amivest流動性比率落後期數之Q檢定 21
表4-7 選擇權法落後期數之Q檢定 21
表4-8迴歸之結果 22
表4-9樣本內預測值之誤差 23
表4-10樣本外預測值之誤差 23

圖目次
圖1- 1台灣ETF市場交易概況 2
圖1- 2台灣市場ETF受益人數 2

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