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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 宋玉生 | |
| dc.contributor.author | Chih-Wei Chen | en |
| dc.contributor.author | 陳治維 | zh_TW |
| dc.date.accessioned | 2021-06-08T00:43:54Z | - |
| dc.date.copyright | 2015-08-16 | |
| dc.date.issued | 2014 | |
| dc.date.submitted | 2015-08-11 | |
| dc.identifier.citation | 尤亭歡(2013)，台灣、香港、中國三地ETF追蹤誤差之研究，臺灣大學財務金融學研究所碩士論文。
彭靖(2010)，追蹤誤差、價格偏離度和成交量之研究─以寶滬深300(0061)、恆中國(0080)及恆香港(0081)ETFs為例，國立政治大學金融學系碩士班碩士論文。 Blitz, D., J. Huij, and L. Swinkels (2012) The Performance of European Index Funds and Exchange-Traded Funds, European Financial Management, 18, 649-662. Chu, P.K.K. (2011) Study on the Tracking Errors and their Determinants: Evidence from Hong Kong Exchange Traded Funds, Applied Financial Economics, 21, 309-315. Elton, E. J., M. J. Gruber, G. Comer, and K. Li (2002) Spiders: Where are the Bugs?, Journal of Business, 75, 453-472. Frino, A. and D. Gallagher (2001) Tracking S&P500 Index Funds, Journal of Portfolio Management, 28, 44-55. Frino, A. and D. Gallagher (2002) Is Index Performance Achievable? An Analysis of Australian Equity Index Funds, ABACUS, 38, 200-214. Harper, J. T., J. Madura and O. Schnusenberg (2006) Performance Comparison between Exchange-Traded Funds and Closed-End Country Funds, Journal of International Financial Markets, Institutions and Money, 16, 104-122. Larsen, G. A. and B. G. Resnick (1998) Empirical Insights on Indexing, Journal of Portfolio Management, 25, 51-60. Pope, P. and P. Yadav (1994) Discovering Errors in Tracking Error, Journal of Portfolio Management, 20, 27-32. Roll, R. (1992) A Mean/Variance Analysis of Tracking Error, Journal of Portfolio Management, 18, 13-22. Shin, S. and G. Soydermir (2010) Exchange-Traded Funds, Persistence in Tracking Errors and Information, Journal of Multinational Financial Management, 20, 214-234. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/17808 | - |
| dc.description.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。 | zh_TW |
| dc.description.abstract | 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. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-08T00:43:54Z (GMT). No. of bitstreams: 1 ntu-103-P01323025-1.pdf: 2162723 bytes, checksum: 68c14fa17efac349841f7a3c07438e27 (MD5) Previous issue date: 2014 | en |
| dc.description.tableofcontents | 謝辭 i
中文摘要 ii 英文摘要 iii 目錄 iv 圖目錄 v 表目錄 vi 第一章 緒論 1 第一節 研究背景 1 第二節 研究動機與目的 3 第三節 本文架構 5 第二章 文獻回顧 6 第一節 ETF介紹 6 第二節 文獻回顧 9 第三章 研究方法 11 第一節 研究對象 11 第二節 衡量追蹤誤差的方法 14 第三節 影響追蹤誤差的迴歸模型 15 第四章 研究結果 18 第一節 敘述統計 18 第二節 追蹤誤差 20 第三節 影響追蹤誤差的因素 25 第五章 結論 26 參考文獻 28 | |
| dc.language.iso | zh-TW | |
| dc.title | 台灣及香港追蹤滬深300指數ETF之追蹤誤差研究 | zh_TW |
| dc.title | The Research on Tracking Errors of Taiwan and Hong Kong's Tracking CSI 300 Index ETFs | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 103-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 謝德宗,李顯峰 | |
| dc.subject.keyword | ETF,追蹤誤差,滬深300指數,多元迴歸, | zh_TW |
| dc.subject.keyword | Exchange traded funds,Tracking error,CSI 300 Index,Multiple regression, | en |
| dc.relation.page | 29 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2015-08-11 | |
| dc.contributor.author-college | 社會科學院 | zh_TW |
| dc.contributor.author-dept | 經濟學研究所 | zh_TW |
| 顯示於系所單位： | 經濟學系 | |
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