臺灣博碩士論文加值系統

槓桿型/反向型ETF在台灣發行已經6年多，長期都存在著追蹤誤差問題，而又以反向型ETF最為明顯，本研究以動態再平衡的機制為出發，研究波動率的變化是否會影響追蹤誤差的大小，本研究將以恐慌指數作為市場情緒的波動領先指標，在捕捉動態相關後，波動所引起的追蹤誤差，是否不利ETF的表現，本研究採用DCC-GARCH模型進行實證研究，樣本採用元大50正2及反1作為標的。
研究發現當波動所引起的槓桿追蹤誤差加大時，對正向ETF報酬產生正向影響、反向ETF報酬產生負面影響；當波動所引起的反向ETF追蹤誤差加大時，對正向ETF報酬產生正向影響、反向ETF報酬產生負面影響。在趨勢效應及波動率效應下，反向ETF比正向ETF更容易出現負的追蹤誤差。

Leveraged / reverse type ETF has been published in Taiwan for more than six years, and there are long-term tracking error problems, and reverse ETF is the most obvious, this study will dynamic rebalancing mechanism for the study of whether the change in volatility Which will affect the tracking error. After tracking the dynamic correlation, the tracking error caused by the fluctuation is not conducive to the performance of the ETF. In this study, the DCC-GARCH model is used for empirical research , The sample using the yuanta T50 2X
and T50-1X as the subject. It is found that the positive ETF reward has a negative effect on the positive ETF reward and the reverse ETF reward has a negative effect when the leverage error caused by the fluctuation increases. When the reverse ETF tracking error caused by the fluctuation increases, the positive ETF Remuneration has a positive impact, and reverse ETF compensation has a negative impact. Under the effect of tidal effect and volatility, the reverse ETF is more prone to negative tracking error than the forward.

目 錄
頁次
第一章 緒 論 1
第一節 研究背景 1
一、全球指數型基金的發展 2
二、全球槓桿/反向指數型基金的發展 2
三、台灣槓桿/反向指數型基金市況 3
四、槓桿/反向指數型基金追蹤誤差 4
第二節 研究目的 7
第三節 研究架構 10
第二章 文獻回顧 11
第一節 長期持有槓桿型指數型基金所產生的追蹤誤差對報酬影響 11
第二節 波動率對槓桿指數型基金追蹤誤差影響 14
第三節 恐慌指數對價格波動影響 16
第四節 基差變化對期貨與現貨報酬影響 17
第三章 研究方法與實證模型 18
第一節 單根檢定 18
一、ADF單根檢定法 18
二、PP非參數單根檢定法 19
第二節 自我相關和變異數檢定 21
第三節 GARCH模型與DCC-GARCH模型設定 25
第四節 研究變數與處理 29
第四章 資料來源與整理 33
第一節 研究數據 33
第二節 基本敘述統計 36
第五章 實證結果與分析檢測 40
第一節 單根檢定 40
第二節 實證模型估計結果 42
第六章 研究結論 46
參考文獻 47
表 目 錄
頁次
【表1-1-1】全球指數型基金規模分布國家 2
【表1-1-2】台灣50槓桿/反向指數型基金基本架構 4
【表4-2-1】反向指數型基金價格、報酬與追蹤誤差基本統計量 38
【表4-2-2】實證模型之相關變數基本統計量 39
【表 5-1-1】ADF 單根檢定結果 40
【表5-1-2】PP 單根檢定結果 41
【表5-1-3】KSS檢定結果 41
【表5-2-1】DCC-GARCH模型估計結果 44
【表5-2-2】估計結果可能影響因素彙整表 45
圖 目 錄
頁次
【圖1-1-1】全球指數型基金發展趨勢圖 2
【圖1-1-2】槓桿指數型基金追蹤誤差形成主要可能原因 5
【圖4-1-1】恐慌指數與加權指數變化走勢圖 35
【圖4-2-1】恐慌指數資料分配圖 37
【圖4-2-2】台灣50指數報酬與台指期貨報酬之ACF自我相關圖 37

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