臺灣博碩士論文加值系統

ETF (Exchange Traded Funds)的績效優劣在於衡量ETF的追蹤誤差，即檢驗ETF淨值報酬率與追蹤指數報酬率之間的差額，差額愈小表示該ETF追蹤績效愈好。
本文以台灣發行之ETF，依其特性與追蹤工具的不同分為五大類，分別為追蹤台股指數、陸股指數、海外指數、正向2倍指數與反向1倍指數。使用單因子變異數分析，衡量不同類別ETF，與同類別ETF各公司間的追蹤誤差平均數是否有顯著差異。利用Tukey Test檢定同類別各公司與個別ETF分組。樣本期間以2016年底以前成立之ETF (成立滿1年以上)，資料期間為2015年至2017年之週資料為研究樣本。研究結果發現台股ETF因沒有匯率、時差、QFII (Qualified Foreign Institutional Investors) 額度、追蹤工具等問題，在追蹤誤差平均數表現最佳；其次為陸股ETF，受匯率與QFII額度限制；海外ETF則受匯率、時差影響；正向2倍與反向1倍ETF除匯率、時差外，另受追蹤工具影響，在追蹤誤差上表現較差。
為進一步探討影響追蹤誤差的原因，納入七個因素做討論。包括ETF總費用率、指數成分股數、資產規模、成交量、每日波動、配息策略與複製指數策略。迴歸結果顯示，七個變數都呈現顯著，呈現正相關的有總費用率、指數成分股數成交量、每日波動與複製指數策略，負相關則有資產規模與配息策略。
就ETF每週平均追蹤誤差發現，2015年6月至8月間的陸股股災明顯高於其他期間，另設一虛擬變數中國股災，迴歸結果顯示，中國股災亦顯著影響追蹤誤差。

The performance of the ETF is to measure the tracking error of the ETF, that is, to test the difference between the ETF net return and the tracking index return. If the difference is smaller, the ETF tracking performance is better.
In this thesis, the ETFs issued in Taiwan divided into five categories according to their characteristics and tracking tools. They are the Taiwan stock index, China stock index, Overseas index, Leverage 2X index and Inverse 1X index. Use ANOVA analysis to evaluate the tracking error on different types of ETF, and use Tukey Test to define classification. The sample period is an ETF (established for more than 1 year) established before the end of 2016, and the data period is per week from 2015 to 2017 data for the study sample. The study found that the Taiwan stock ETF had the best performance in tracking error averages due to issues such as no exchange rate, time difference, QFII (Qualified Foreign Institutional Investors) quota, tracking tools, etc.; followed by China stock ETFs, subject to exchange rate and QFII quota; Overseas ETFs were subject to exchange rates and time differences; Leverage 2X ETF and Ieverse 1X ETF subject to exchange rate, time difference, and tracking tools, the poor performance in the tracking error.
To further explore the causes of the impact of tracking errors, seven factors were included for discussion, including the total ETF expense ratio, index constituent stocks, asset size, volume, and daily volatility, dividend policy and replication index strategy. The regression results show that all seven variables are significant and positively correlated with total expense ratio, index constituent stocks, volume, daily volatility and replication index strategy, negative correlation is asset size and dividend policy.
According to the weekly average tracking error of the ETF found that the China stock market dropped sharply between June 2015 and August 2015 was significantly higher than the rest of the period. Creating a new dummy variable, China stocks dropped sharply, the regression results showed that the China stocks dropped sharply also significant.

第一章 緒論......................................1
第一節 研究背景與動機...........................2
第二節 研究目的...................................4
第三節 文獻回顧...................................5
第四節 研究架構與方法...........................7
第二章 商品架構與市場概況......................12
第一節 ETF商品架構…............................12
第二節 ETF主要特色.............................16
第三節 全球市場概況............................19
第四節 台灣市場概況............................25
第三章 研究結果與分析..........................29
第一節 追蹤誤差之比較..........................29
第二節 追蹤誤差影響因子之迴歸分析.............51
第四章 結論...................................54
參考文獻.......................................56

一、中文文獻
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13.林昱廷、謝旻潔、吳逸萱、林芷羚、林子鈞(2017)，第四屆臺灣ETF投資論壇紀實，臺灣證券交易所證券服務第662期。
14.吳逸萱(2017)，出席KRX 2017年全球ETP論壇紀實，臺灣證券交易所證券服務第662期。
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二、英文文獻
1.Roll, R.(1992),“A Mean/Variance Analysis of Tracking Error”,Journal of Portfolio Management.
2.Pope, P. and P. Yadav(1994),“Discovering Errors in Tracking Error”,Journal of Portfolio Management.
3.Larsen, G. A. and B. G. Resnick(1998), “Empirical Insights on Indexing”,Journal of Portfolio Management.
4.Frino, A. And D. Gallagher(2001),“Tracking S&P 500 Index Fund”,Journal of Portfolio Management.
5.Frino, A. and D. Gallagher(2002),“Is Index Performance Achievable? An Analysis of Australian Equity Index Funds”,ABACUS.
6.Elton, E. J., Gruber, M. J., Comer, G., and Li, K.(2002),“Spiders：Where are the Bugs?“, Journal of Business.
7.Haper, J. T., J. Madura and O. Schnusenbert(2006),“Performance Comparison between Exchange-Traded Funds and Closed-End Country Funds”,Journal of International Financial Markets, Institutions and Money.
8.Chu, P.K.K.(2011),“Study on the Tracing Errors and their Determinants：Evidence from Hong Kong Exchange Traded Funds“,Applied Financial Economics.
9.Blitz, D., Huij, J. and Swinkels, L.(2012),“The Performance of European Index Funds and Exchange-Traded Funds“,European Financial Management.
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11.BlackRock Global ETP Landscape, Industry Highlights, December 2017.