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題名 槓桿型指數型基金之追蹤誤差 : 以標的指數所屬產業分析
Tracking Error of Leveraged Exchange : Traded Funds -analysis of industries of underlying indexes作者 林恩加 貢獻者 岳夢蘭
林恩加關鍵詞 槓桿型/反向型ETF
追蹤誤差
產業
Leveraged/inverse ETF
Tracking error
Industry日期 2017 上傳時間 10-Aug-2017 09:43:21 (UTC+8) 摘要 本文探討槓桿型/反向型ETF之追蹤誤差是否會因為追縱標的屬於不同產業而有差異。為此先將46檔具有顯著追蹤誤差之槓桿型/反向型ETF樣本分為七類不同的產業，並設定產業作虛擬變數放入多元迴歸模型中，結果為當追蹤指數屬於建築業、零售業及服務業之槓桿型/反向型ETF傾向得到較大的追蹤誤差，而追蹤指數屬於礦產業、製造業、水電業及金融業者，其追蹤誤差較小。追蹤誤差大之產業，其指數波動度也較大，推測指數波動度可能是造成特定產業追蹤績效不佳的原因。另外在本研究中也發現，追蹤礦產業、建築業及製造業指數之槓桿型/反向型ETF，其槓桿型績效優於反向型績效；而追蹤水電業、零售業、金融業及服務業指數之槓桿型/反向型ETF則是反向型績效優於槓桿型績效。其原因推測與ETF存在年限、ETF發行公司和指數成分股個數有關。
This paper discusses whether the tracking error of leveraged/inverse ETF varies by industry of underlying indexes. We take 46 leveraged/inverse ETFs with significant tracking error into the samples, divide them into 7 different industries and set those industries as dummy variables in multiple regression models. The outcome shows that the tracking error tends to be larger if the underlying index of leveraged/inverse ETF belongs to construction, retails or service industries; otherwise, the tracking error tends to be smaller if it tracks the index from mining, manufacturing, utility or finance industries. The larger tracking errors may result from more volatile indexes of those industries. Besides, we also find that leveraged ETFs outperform the inverse ones if the index belongs to mining, construction or manufacturing industry; on the other hand, inverse ETFs outperform leveraged ones when the index comes from utility, retails, finance or service industry. The possible reasons may be the different characteristics of ETFs, such as the length of ETF’s existence, ETF’s issuer and the number of constituents in underlying index.參考文獻 Charupat, N., and Miu, P. (2011). The pricing and performance of leveraged exchange-traded funds. Journal of Banking and Finance, 35(4), 966-977.Chu, P. K. K. (2011). Study on the tracking errors and their determinants: evidence from Hong Kong exchange traded funds. Applied Financial Economics, 21(5), 309-315.Drenovak, M., Urošević, B., & Jelic, R. (2014). European bond ETFs: tracking errors and the sovereign debt crisis. European Financial Management, 20(5), 958-994.Frino, A., Gallagher, D. R., Neubert, A. S., and Oetomo, T. N. (2004). Index design and implications for index tracking. The Journal of Portfolio Management, 30(2), 89-95.Grinblatt, M., and Titman, S. (1989). Mutual fund performance: An analysis of quarterly portfolio holdings. Journal of business, 393-416.Guo, K., and Leung, T. (2015). Understanding the tracking errors of commodity leveraged ETFs. In Commodities, Energy and Environmental Finance (pp. 39-63). Springer New York.Hill, J. M. (2016). The Evolution and Success of Index Strategies in ETFs. Financial Analysts Journal, 72(5), 8-13.Johnson, W. F. (2009). Tracking errors of exchange traded funds. Journal of Asset Management, 10(4), 253-262.Lu, L., Wang, J., and Zhang, G. (2009). Long term performance of leveraged ETFs.Miu, P., and Charupat, N. (2016). Leveraged Exchange-traded Funds: A Comprehensive Guide to Structure, Pricing, and Performance. Springer.Osterhoff, F., and Kaserer, C. (2016). Determinants of tracking error in German ETFs–the role of market liquidity. Managerial Finance, 42(5), 417-437.Pope, P. F., and Yadav, P. K. (1994). Discovering errors in tracking error. The Journal of Portfolio Management, 20(2), 27-32.Roll, R. (1992). A mean/variance analysis of tracking error. The Journal of Portfolio Management, 18(4), 13-22.Shin, S., and Soydemir, G. (2010). Exchange-traded funds, persistence in tracking errors and information dissemination. Journal of Multinational Financial Management, 20(4), 214-234.Tang, H., and Xu, X. E. (2013). Solving the return deviation conundrum of leveraged exchange-traded funds. Journal of Financial and Quantitative Analysis, 48(01), 309-342. 描述 碩士
國立政治大學
財務管理研究所
103357021資料來源 http://thesis.lib.nccu.edu.tw/record/#G0103357021 資料類型 thesis dc.contributor.advisor 岳夢蘭 zh_TW dc.contributor.author (Authors) 林恩加 zh_TW dc.creator (作者) 林恩加 zh_TW dc.date (日期) 2017 en_US dc.date.accessioned 10-Aug-2017 09:43:21 (UTC+8) - dc.date.available 10-Aug-2017 09:43:21 (UTC+8) - dc.date.issued (上傳時間) 10-Aug-2017 09:43:21 (UTC+8) - dc.identifier (Other Identifiers) G0103357021 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/111728 - 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) 103357021 zh_TW dc.description.abstract (摘要) 本文探討槓桿型/反向型ETF之追蹤誤差是否會因為追縱標的屬於不同產業而有差異。為此先將46檔具有顯著追蹤誤差之槓桿型/反向型ETF樣本分為七類不同的產業，並設定產業作虛擬變數放入多元迴歸模型中，結果為當追蹤指數屬於建築業、零售業及服務業之槓桿型/反向型ETF傾向得到較大的追蹤誤差，而追蹤指數屬於礦產業、製造業、水電業及金融業者，其追蹤誤差較小。追蹤誤差大之產業，其指數波動度也較大，推測指數波動度可能是造成特定產業追蹤績效不佳的原因。另外在本研究中也發現，追蹤礦產業、建築業及製造業指數之槓桿型/反向型ETF，其槓桿型績效優於反向型績效；而追蹤水電業、零售業、金融業及服務業指數之槓桿型/反向型ETF則是反向型績效優於槓桿型績效。其原因推測與ETF存在年限、ETF發行公司和指數成分股個數有關。 zh_TW dc.description.abstract (摘要) This paper discusses whether the tracking error of leveraged/inverse ETF varies by industry of underlying indexes. We take 46 leveraged/inverse ETFs with significant tracking error into the samples, divide them into 7 different industries and set those industries as dummy variables in multiple regression models. The outcome shows that the tracking error tends to be larger if the underlying index of leveraged/inverse ETF belongs to construction, retails or service industries; otherwise, the tracking error tends to be smaller if it tracks the index from mining, manufacturing, utility or finance industries. The larger tracking errors may result from more volatile indexes of those industries. Besides, we also find that leveraged ETFs outperform the inverse ones if the index belongs to mining, construction or manufacturing industry; on the other hand, inverse ETFs outperform leveraged ones when the index comes from utility, retails, finance or service industry. The possible reasons may be the different characteristics of ETFs, such as the length of ETF’s existence, ETF’s issuer and the number of constituents in underlying index. en_US dc.description.tableofcontents 第一章 緒論 1第一節、 研究背景 1第二節、 研究動機及目的 2第三節、 研究架構 3第二章 文獻探討 4第一節、 追蹤誤差定義 4第二節、 影響追蹤誤差之因素 6第三章 研究方法與實證模型 9第一節、 資料來源 9第二節、 研究假說 18第三節、 研究模型與變數 20第四章 實證結果 25第一節、 追蹤誤差之顯著性 25第二節、 標的指數所屬產業對追蹤誤差之影響 30第三節、 各產業槓桿型與反向型ETF之追蹤績效分析 34第五章 結論與建議 40第一節、 研究結論 40第二節、 研究限制與未來研究建議 42參考文獻 43 zh_TW dc.format.extent 2153612 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0103357021 en_US dc.subject (關鍵詞) 槓桿型/反向型ETF zh_TW dc.subject (關鍵詞) 追蹤誤差 zh_TW dc.subject (關鍵詞) 產業 zh_TW dc.subject (關鍵詞) Leveraged/inverse ETF en_US dc.subject (關鍵詞) Tracking error en_US dc.subject (關鍵詞) Industry en_US dc.title (題名) 槓桿型指數型基金之追蹤誤差 : 以標的指數所屬產業分析 zh_TW dc.title (題名) Tracking Error of Leveraged Exchange : Traded Funds -analysis of industries of underlying indexes en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Charupat, N., and Miu, P. (2011). The pricing and performance of leveraged exchange-traded funds. Journal of Banking and Finance, 35(4), 966-977.Chu, P. K. K. (2011). Study on the tracking errors and their determinants: evidence from Hong Kong exchange traded funds. Applied Financial Economics, 21(5), 309-315.Drenovak, M., Urošević, B., & Jelic, R. (2014). European bond ETFs: tracking errors and the sovereign debt crisis. European Financial Management, 20(5), 958-994.Frino, A., Gallagher, D. R., Neubert, A. S., and Oetomo, T. N. (2004). Index design and implications for index tracking. The Journal of Portfolio Management, 30(2), 89-95.Grinblatt, M., and Titman, S. (1989). Mutual fund performance: An analysis of quarterly portfolio holdings. Journal of business, 393-416.Guo, K., and Leung, T. (2015). Understanding the tracking errors of commodity leveraged ETFs. In Commodities, Energy and Environmental Finance (pp. 39-63). Springer New York.Hill, J. M. (2016). The Evolution and Success of Index Strategies in ETFs. Financial Analysts Journal, 72(5), 8-13.Johnson, W. F. (2009). Tracking errors of exchange traded funds. Journal of Asset Management, 10(4), 253-262.Lu, L., Wang, J., and Zhang, G. (2009). Long term performance of leveraged ETFs.Miu, P., and Charupat, N. (2016). Leveraged Exchange-traded Funds: A Comprehensive Guide to Structure, Pricing, and Performance. Springer.Osterhoff, F., and Kaserer, C. (2016). Determinants of tracking error in German ETFs–the role of market liquidity. Managerial Finance, 42(5), 417-437.Pope, P. F., and Yadav, P. K. (1994). Discovering errors in tracking error. The Journal of Portfolio Management, 20(2), 27-32.Roll, R. (1992). A mean/variance analysis of tracking error. The Journal of Portfolio Management, 18(4), 13-22.Shin, S., and Soydemir, G. (2010). Exchange-traded funds, persistence in tracking errors and information dissemination. Journal of Multinational Financial Management, 20(4), 214-234.Tang, H., and Xu, X. E. (2013). Solving the return deviation conundrum of leveraged exchange-traded funds. Journal of Financial and Quantitative Analysis, 48(01), 309-342. zh_TW
