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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/17808
Title: | 台灣及香港追蹤滬深300指數ETF之追蹤誤差研究 The Research on Tracking Errors of Taiwan and Hong Kong's Tracking CSI 300 Index ETFs |
Authors: | Chih-Wei Chen 陳治維 |
Advisor: | 宋玉生 |
Keyword: | ETF,追蹤誤差,滬深300指數,多元迴歸, Exchange traded funds,Tracking error,CSI 300 Index,Multiple regression, |
Publication Year : | 2014 |
Degree: | 碩士 |
Abstract: | 本文以台灣及香港兩地追蹤滬深300指數的10檔ETF為研究對象,研究其追蹤誤差。研究結果發現台、港兩地的追蹤誤差,在1%的顯著水準下均顯著異於0,且台、港兩地ETF的追蹤誤差顯著不相等。台灣的ETF月平均追蹤誤差為2.3898%,低於香港的4.1225%。
為了解影響追蹤誤差的因素,再以6檔ETF 30個月份的資料進行多元迴歸。結果顯示,ETF的複製策略、費用率、成交量,以及計價幣別的匯率變動率,皆顯著與追蹤誤差有關。 This article estimates tracking errors of 10 exchange traded funds (ETFs) listed on Taiwan Stock Exchange and Hong Kong Stock Exchange. All of the 10 ETFs are tracking CSI 300 Index. The results indicate that tracking errors of ETFs in Taiwan and Hong Kong are significantly different from zero at 1% significant level. The monthly average tracking error of ETFs in Taiwan is 2.3898% which is significantly different from 4.1225% in Hong Kong. To analyze the determinants associated with tracking errors, this article runs a multiple regression on 6 ETFs in the recent 30 months. The results show that replicate strategy, fee, volume, and variation of exchange rate are significantly associated with tracking error. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/17808 |
Fulltext Rights: | 未授權 |
Appears in Collections: | 經濟學系 |
Files in This Item:
File | Size | Format | |
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ntu-103-1.pdf Restricted Access | 2.11 MB | Adobe PDF |
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