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題名 槓桿型指數股票型基金追蹤誤差之研究
An Investigation of Tracking Errors of Leverage ETFs
作者 林琦惟
貢獻者 岳夢蘭
林琦惟
關鍵詞 槓桿型ETF
追蹤誤差
日期 2016
上傳時間 2-Aug-2016 15:59:06 (UTC+8)
摘要 本文研究分為兩個部分。第一部分以全球發行追蹤標的為各國加權指數之兩倍槓桿型ETF為研究樣本，探討各槓桿型ETF發行日起至2016年3月間ETF的追蹤誤差。再者，分析槓桿型ETF之個別績效，以槓桿型ETF報酬率與追蹤標的指數報酬率差異之絕對值作為追蹤誤差之衡量，各槓桿型ETF平均之追蹤誤差在0.01到2.96個基本點，在45檔槓桿型ETF中，有24檔槓桿型ETF在10%顯著水準下異於零。第二部分進一步分析在10%顯著水準下顯著異於0之槓桿型ETF，造成其追蹤誤差的原因， 研究結果顯示，總費用率、匯率變動率、資產規模變動率、成交量變動率、標的指數成分股數、追蹤標的之地區等原因皆與追蹤誤差皆顯著影響槓桿型ETF追蹤誤差的大小。
參考文獻 Aber, J. W., Li, D., & Can, L. (2009). Price volatility and tracking ability of ETFs. Journal of Asset Management, 10(4), 210-221.
Ammann, M., Zimmermann, H., (2001), Arbitrage and Valuation in the Market for Standard and Poor’s Depository Receipts, Financial Management, 29, 71-78
Avellaneda, M., & Zhang, S. (2010). Path-dependence of leveraged ETF returns. SIAM Journal on Financial Mathematics, 1(1), 586-603.
Charupat, N., & Miu, P. (2011). The pricing and performance of leveraged exchange-traded funds. Journal of Banking & Finance, 35(4), 966-977.
Cheng, M., & Madhavan, A. (2009). The dynamics of leveraged and inverse exchange-traded funds. Journal Of Investment Management (JOIM), Fourth Quarter.
Chiang, Wai C. (1998) Optimizing Performance, in Albert S. Neubert (ed.), Indexing for Maximum Investment Results, GPCo Publishers.
Chu, P. K. K. (2009). Study on the Tracking Errors and their Determinants: Hong Kong Exchange Traded Funds (ETFs) Evidences. Available at SSRN 1428768.
Elton, E. J., Gruber, M. J., Comer, G., & Li, K. (2002). Spiders: Where are the bugs?. The Journal of Business, 75(3), 453-472.
Frino, A., & Gallagher, D. R. (2002). Is index performance achievable? An analysis of Australian equity index funds. Abacus, 38(2), 200-214.
Hehn, E. (2005). Review: Facts & Figures on ETFs. In Exchange Traded Funds (pp. 143-151). Springer Berlin Heidelberg.
Jarrow, R. A. (2010). Understanding the risk of leveraged ETFs. Finance Research Letters, 7(3), 135-139.
Lu, L., Wang, J., & Zhang, G. (2009). Long term performance of leveraged ETFs. Available at SSRN 1344133.
Pope, P. F., & Yadav, P. K. (1994). Discovering errors in tracking error. The Journal of Portfolio Management, 20(2), 27-32.
Short&Leveraged ETFs/ETPs Global Flows Report, Retrieved December,31,215, from: http://www.boostetp.com
元大寶來投信，2014。創世紀產品 槓桿反向ETF。台灣：經濟日報。
描述 碩士
國立政治大學
財務管理研究所
103357023
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0103357023
資料類型 thesis
dc.contributor.advisor 岳夢蘭zh_TW
dc.contributor.author (Authors) 林琦惟zh_TW
dc.creator (作者) 林琦惟zh_TW
dc.date (日期) 2016en_US
dc.date.accessioned 2-Aug-2016 15:59:06 (UTC+8)-
dc.date.available 2-Aug-2016 15:59:06 (UTC+8)-
dc.date.issued (上傳時間) 2-Aug-2016 15:59:06 (UTC+8)-
dc.identifier (Other Identifiers) G0103357023en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/99541-
dc.description (描述) 碩士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) 103357023zh_TW
dc.description.abstract (摘要) 本文研究分為兩個部分。第一部分以全球發行追蹤標的為各國加權指數之兩倍槓桿型ETF為研究樣本，探討各槓桿型ETF發行日起至2016年3月間ETF的追蹤誤差。再者，分析槓桿型ETF之個別績效，以槓桿型ETF報酬率與追蹤標的指數報酬率差異之絕對值作為追蹤誤差之衡量，各槓桿型ETF平均之追蹤誤差在0.01到2.96個基本點，在45檔槓桿型ETF中，有24檔槓桿型ETF在10%顯著水準下異於零。第二部分進一步分析在10%顯著水準下顯著異於0之槓桿型ETF，造成其追蹤誤差的原因， 研究結果顯示，總費用率、匯率變動率、資產規模變動率、成交量變動率、標的指數成分股數、追蹤標的之地區等原因皆與追蹤誤差皆顯著影響槓桿型ETF追蹤誤差的大小。zh_TW
dc.description.tableofcontents 第一章 緒論 1
第一節 研究背景 1
第二節 研究動機與目的 10
第三節 研究架構與流程 11
第二章 文獻探討 12
第一節 槓桿型ETF追蹤誤差是否顯著之研究 12
第二節 造成追蹤誤差之原因 13
第三章 研究方法與實證模型 14
第一節 衡量追蹤誤差之方法 14
第二節 影響追蹤誤差之因素 15
第四章 資料來源 20
第一節 資料期間及樣本 20
第二節 資料來源 21
第五章 研究結果與分析 28
第一節 槓桿型ETF追蹤誤差之顯著性 28
第二節 影響追蹤誤差之因子 33
第六章 結論 34
參考文獻 36		zh_TW
dc.format.extent 1075996 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0103357023en_US
dc.subject (關鍵詞) 槓桿型ETFzh_TW
dc.subject (關鍵詞) 追蹤誤差zh_TW
dc.title (題名) 槓桿型指數股票型基金追蹤誤差之研究zh_TW
dc.title (題名) An Investigation of Tracking Errors of Leverage ETFsen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Aber, J. W., Li, D., & Can, L. (2009). Price volatility and tracking ability of ETFs. Journal of Asset Management, 10(4), 210-221.
Ammann, M., Zimmermann, H., (2001), Arbitrage and Valuation in the Market for Standard and Poor’s Depository Receipts, Financial Management, 29, 71-78
Avellaneda, M., & Zhang, S. (2010). Path-dependence of leveraged ETF returns. SIAM Journal on Financial Mathematics, 1(1), 586-603.
Charupat, N., & Miu, P. (2011). The pricing and performance of leveraged exchange-traded funds. Journal of Banking & Finance, 35(4), 966-977.
Cheng, M., & Madhavan, A. (2009). The dynamics of leveraged and inverse exchange-traded funds. Journal Of Investment Management (JOIM), Fourth Quarter.
Chiang, Wai C. (1998) Optimizing Performance, in Albert S. Neubert (ed.), Indexing for Maximum Investment Results, GPCo Publishers.
Chu, P. K. K. (2009). Study on the Tracking Errors and their Determinants: Hong Kong Exchange Traded Funds (ETFs) Evidences. Available at SSRN 1428768.
Elton, E. J., Gruber, M. J., Comer, G., & Li, K. (2002). Spiders: Where are the bugs?. The Journal of Business, 75(3), 453-472.
Frino, A., & Gallagher, D. R. (2002). Is index performance achievable? An analysis of Australian equity index funds. Abacus, 38(2), 200-214.
Hehn, E. (2005). Review: Facts & Figures on ETFs. In Exchange Traded Funds (pp. 143-151). Springer Berlin Heidelberg.
Jarrow, R. A. (2010). Understanding the risk of leveraged ETFs. Finance Research Letters, 7(3), 135-139.
Lu, L., Wang, J., & Zhang, G. (2009). Long term performance of leveraged ETFs. Available at SSRN 1344133.
Pope, P. F., & Yadav, P. K. (1994). Discovering errors in tracking error. The Journal of Portfolio Management, 20(2), 27-32.
Short&Leveraged ETFs/ETPs Global Flows Report, Retrieved December,31,215, from: http://www.boostetp.com
元大寶來投信，2014。創世紀產品 槓桿反向ETF。台灣：經濟日報。		zh_TW