| dc.contributor.advisor | 林基煌 | zh_TW |
| dc.contributor.advisor | Lin, Chi Huang | en_US |
| dc.contributor.author (Authors) | 林淑惠 | zh_TW |
| dc.contributor.author (Authors) | Lin, Shu Huei | en_US |
| dc.creator (作者) | 林淑惠 | zh_TW |
| dc.creator (作者) | Lin, Shu Huei | en_US |
| dc.date (日期) | 2010 | en_US |
| dc.date.accessioned | 29-Sep-2011 16:47:52 (UTC+8) | - |
| dc.date.available | 29-Sep-2011 16:47:52 (UTC+8) | - |
| dc.date.issued (上傳時間) | 29-Sep-2011 16:47:52 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0903575022 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/50832 | - |
| dc.description (描述) | 博士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 財務管理研究所 | zh_TW |
| dc.description (描述) | 90357502 | zh_TW |
| dc.description (描述) | 99 | zh_TW |
| dc.description.abstract (摘要) | 在單一價格法則之下，國際ETF的市場價格應該與NAV或標的資產價格一致。由於ETF具備申購贖回機制，其溢價現象將較國家型封閉型基金來得低。本文以32檔國際iShares檢視國際ETF的績效與國際投資分散效果，資料期間為1996年至2006年10月20日之日資料，並在考量區域因素的影響之下，將樣本區分為全球型、已開發市場型、以及新興市場型ETF。 本實證結果顯示，如同國家型封閉基金常出現的溢折價現象，國際iShares存在價格差異現象，尤其於新興市場型iShares更為明顯而且波動較大。然而，此價格差異現象僅是暫時的，而且主要由本國資訊所影響。此外，價格均衡的調整時間與3天期的結算清算時間一致。因此，ETF的申購贖回機制有助於提升價格調整的效率性，亦即長期而言，iShares遵循單一價格法則，而且於美國市場交易的投資人可由該投資工具達到國際投資組合分散效果，尤以全球型或複合型的iShares為最。 | zh_TW |
| dc.description.abstract (摘要) | In the law of one price, the share price of international ETFs should be the same as the domestic stock price and NAV respectively. Especially, with specific mechanism of creation and redemption process for ETFs, price deviation would be mitigated effectively comparing with similar product of closed-end country funds. This paper examines international ETFs’ performance and international diversification effect through 32 international iShares which are the most popular international ETFs in the world, and we use daily data with sample period from inception to 2006/10/20. Consider the regional impact on the price deviation, we also categorize the sample to three types as global, developed, and emerging market ETFs. In this paper, price deviations exist and are larger and more volatile for emerging market iShares, which is consistent with previous studies. However, the price deviations occur temporarily and are primarily driven by domestic information for all types of international iShares. We also find that the time of equilibrium adjusting process is consistent with three-day settlement period. Though incompletely perfect, the existence of the creation or redemption process along with the high transparency of iShares management appears to enhance price efficiency. Therefore, in the long-run, iShares price follow the law of one price, and US investors may obtain international diversification benefits through the instrument. Especially, the benefits will be larger for global or hybrid iShares comparing with country-specific iShares or emerging market iShares. | en_US |
| dc.description.tableofcontents | Chapter1 Introduction 1 Chapter 2 Literature Review and Hypothesis 4 2.1 Introduction of ETF（Exchange-traded fund） 4 2.1.1 History of ETF 4 2.1.2 Creation and redemption mechanics of ETF 5 2.1.3 Arbitrage mechanism of ETF 7 2.1.4 Features of investing ETF 8 2.3 Literature Review 16 2.3.1 International diversification benefits 16 2.3.2 Country-fund premium puzzle 19 2.3.3 Dual characteristics of price returns 22 2.4 Hypothesis 24 2.4.1 The law of one price 24 2.4.2 International diversification effect 24 2.4.3 Market efficiency 25 Chapter 3 Data and Methodology 27 3.1 The sample of funds 27 3.2 One-factor and Two-factor market model 28 3.3 Multi-factor return model 30 3.4 Stationarity and multivariate cointegration tests 32 3.5 Vector Autoregression (VAR) analysis 33 Chapter 4 Empirical Results and Analysis 44 4.1 Descriptive statistics 44 4.2 Regression for iShare price return 50 4.3 Comovements among iShares’ prices and the driving forces 52 4.4 Variance decomposition of iShare price return 55 4.5 Impulse response of iShare price return 58 Chapter 5 Conclusions 60 5.1 Findings and conclusions 60 5.2 Future research and suggestions 64 Reference 65 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0903575022 | en_US |
| dc.subject (關鍵詞) | ETF | zh_TW |
| dc.subject (關鍵詞) | iShare | zh_TW |
| dc.subject (關鍵詞) | 國際分散效果 | zh_TW |
| dc.subject (關鍵詞) | 溢價 | zh_TW |
| dc.subject (關鍵詞) | 單一價格法則 | zh_TW |
| dc.subject (關鍵詞) | ETF | en_US |
| dc.subject (關鍵詞) | iShare | en_US |
| dc.subject (關鍵詞) | international diversification | en_US |
| dc.subject (關鍵詞) | premium | en_US |
| dc.subject (關鍵詞) | the law of one price | en_US |
| dc.title (題名) | 國際iShares的跨境價格差異 | zh_TW |
| dc.title (題名) | Cross-border Price Differences: Evidence from International iShares | en_US |
| dc.type (資料類型) | thesis | en |
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