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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/48007完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 李存修 | |
| dc.contributor.author | Pei-Yu Lan | en |
| dc.contributor.author | 藍珮瑜 | zh_TW |
| dc.date.accessioned | 2021-06-15T06:44:19Z | - |
| dc.date.available | 2013-07-18 | |
| dc.date.copyright | 2011-07-18 | |
| dc.date.issued | 2011 | |
| dc.date.submitted | 2011-07-01 | |
| dc.identifier.citation | 1. 何峻銘(2004)，「台灣指數股票型基金（ETFs）：追蹤誤差、折溢價與交易現況」，國立中正大學，企業管理研究所。
2. 施雅菁(民91)，「小型台指期貨價格之研究」，私立淡江大學財務金融研究所碩士論文 3. 洪惠娟(民92)，「S＆P500指數、期貨與ETF價格發現之研究」，私立淡江大學財務金融研究所碩士論文。 4. 唐婉崴(2003)，「指數現貨、指數期貨與指數股票式基金間價格發現能力之探討－以NASDAQ 100指數商品為例」，淡江大學財務金融學系未出版博士論文。 5. 徐清俊、陳龍俊(2005)，「台灣50指數、期貨與ETF價格發現之研究」，長榮大學學報，第九卷，第二期， 66-76頁。 6. 陳龍志(2005)，台灣50期貨與ETF比較，南華大學財務管理研究所碩士論文。 7. 黃玉娟、徐守德(民86)，「台股指數現貨與期貨市場價格動態關聯性研究」，證券市場發展季刊，第九卷第三期，21-30頁。 8. Abhyankar, A. H. (1995), “Return and Volatility Dynamics in the FT-SE 100 Stock Index and Stock Index Futures Markets,” The Journal of Futures Markets, Vol. 15, 457-488. 9. Ackert, Lucy F. and Yisong S. Tian(2000),“Arbitrage and Valuation in the Market for Standard and Poor's Depositary Receipts”, Financial Management, pp. 71-88. 10. Chan, K.(1992), “A Further Analysis of the Lead-Lag Relationship between the Cash Market and Stock Index Futures Market”, Review of Financial Studies, Vol.5(1), pp.123-152. 11. Chiang R. and W. Fong(2001), “Relative informational efficiency of Cash, Futures and Options Markets: The Case of an Emerging Market,” Journal of Banking & Finance, Vol.25, pp.355-375. 12. Chu Q. C., W. G. Hsieh and Y. Tse(1999), “Price Discovery on the S&P 500 Index Markets: An Analysis of Spot Index, Index Futures and SPDRs,” International Review of Financial-Analysis, Vol.8, pp.21-34. 13. Fleming, J., B., Ostdiek, and R.E. Whaley(1996), “Trading Costs and the Relative Rates of Price Discovery in Stock, Futures, and Option Markets”, Journal of Futures Markets, 16, 353-387. 14. Hasbrouck, J.(2002), “Intraday Price Formation in U.S. Equity Index Markets,” The Journal of Finance, pp.1540-1626. 15. Jares, Timothy and Angeline M. Lavin (2002), “Japan and Hong Kong Exchange Traded Funds(ETFs) Discounts,Return,and Trading Strategies”, Working Paper. 16. Maosen Zhong et al.(2004), “Price discovery and volatility spillovers in index fitires markets: Some evidence from Mexico”, Journal of banking and finance, Vol. 28, pp.3037-3054. 17. Stoll, H. R. and R. E. Whaley(1990), “The Dynamic of Stock Index and Stock Futures Return,” The Journal of Financial and Quantitative Analysis, Vol.25, pp.441-468. 18. Subrahmanyam, A.(1991), “A Theory of Trading in Stock Index Futures,” Review of Financial Studies, Vol.4, pp.17-51. 19. Thirumalai, Ramabhadran S.(2003), “Active vs. Passive ETFs”, Job market. 20. W. G. Hsieh (2002), 'Market Intergration, Price Discovery, and Information Transmission in Taiwan Index Futures Market' Journal of financial Studies, Vol.10,pp1-31. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/48007 | - |
| dc.description.abstract | 目前尚無針對投資中國大陸相關之A50ETF與滬深300ETF的價格發現與折溢價分析之相關研究。然而，由於中國對境外投資人投資A股的限制以及境內投資人投資境外股市的限制，可能產生折溢價之現象。也因為管制促使在香港發行的此兩檔ETF成為外國投資人欲投資中國最自由且具彈性的選擇。本研究將以基金市值與淨資產價值之日資料進行實證分析，探討折溢價比率之放大縮小對報酬率的影響且是否具有資訊內涵，並進一步探討淨值與市價的因果關係。 | zh_TW |
| dc.description.abstract | There are no studies analyzing the information content and price lead-lag relationship between A50 ETF and CSI500 ETF. However, accessing China's capital markets remains difficult for global investors. Accessing other capital markets also remains difficult for China investors. Thus, ETFs are naturally becoming a convenient and appropriate alternative investment choice. Under these circumstances, ETFs may have discount or premium between the market value and NAV. This article uses daily closing price data of iShare A50 ETF and CSI500 ETF to examine their information content and price lead-lag relationship. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-15T06:44:19Z (GMT). No. of bitstreams: 1 ntu-100-R98723038-1.pdf: 759932 bytes, checksum: 687665128de2a25d93b856f5bc99a336 (MD5) Previous issue date: 2011 | en |
| dc.description.tableofcontents | 壹 研究背景與動機 1
貳 文獻回顧 4 一 折溢價變化之文獻回顧 5 二 因果關係之文獻回顧 7 参 A50中國指數ETF與滬深300A股指數ETF折溢價變化對未來價格走勢之影響 10 一 資料來源、研究期間與研究對象 10 二 研究方法 11 三 實證結果 13 肆 A50中國指數ETF與滬深300A股指數ETF之因果關係檢定 20 一 研究區間 20 二 研究方法：Granger Causality因果關係檢定 20 三 實證結果 21 伍 結論 24 | |
| dc.language.iso | zh-TW | |
| dc.subject | 滬深300 A股指數ETF | zh_TW |
| dc.subject | 折溢價分析 | zh_TW |
| dc.subject | 因果關係 | zh_TW |
| dc.subject | 富時A50中國指數ETF | zh_TW |
| dc.subject | Information Content | en |
| dc.subject | CSI500 ETF | en |
| dc.subject | A50 ETF | en |
| dc.subject | price lead-lag relationship | en |
| dc.title | A50中國指數ETF與滬深300A股指數ETF之折溢價的資訊內涵與因果關係 | zh_TW |
| dc.title | The Information Content and Granger Causality of the premium/ discount of A50 ETF and CSI 300 ETF | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 99-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.coadvisor | 廖咸興 | |
| dc.contributor.oralexamcommittee | 王耀輝,莊文議 | |
| dc.subject.keyword | 折溢價分析,因果關係,富時A50中國指數ETF,滬深300 A股指數ETF, | zh_TW |
| dc.subject.keyword | Information Content,price lead-lag relationship,A50 ETF,CSI500 ETF, | en |
| dc.relation.page | 27 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2011-07-01 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
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