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題名 現金股利對台灣ETF追蹤誤差影響之實証研究
The Impact of Cash Dividends on the Tracking Error of Taiwan ETFs
作者 陳素婷
Chen, Su-Ting
貢獻者 盧敬植
陳素婷
Chen, Su-Ting
關鍵詞 現金股利
追蹤誤差
高股息
Cash dividends
Tracking errors
High-dividend
日期 2024
上傳時間 5-Aug-2024 13:42:43 (UTC+8)
摘要 本研究探討現金股利與台灣ETF追蹤誤差的關係，追蹤誤差的計算方式為ETF與追蹤指數的淨值報酬差距之平方總和，再取標準差作為追蹤誤差的衡量指標，分析現金股利是否會影響台灣ETF的追蹤誤差，並進一步加入現金股利與成交量的交乘項，來檢驗成交量改變時，是否會影響ETF的追蹤誤差與現金股利的關係。最後加入利率與高股息ETF的虛擬變數，探討利率是否會對台灣高股息ETF造成影響。 實証結果顯示，當現金股利越大，台灣ETF的追蹤誤差就會越大，除了因為除息日與實際發放日不同所造成的時間差距難以彌補外，現金股利再投資、投資組合再平衡的過程中也會產生額外的交易成本。另外，現金股利與成交量的交乘項與追蹤誤差呈現負相關，顯示當ETF成交量變大時，會減緩現金股利對追蹤誤差造成的負面影響。最後，研究顯示利率對台灣高股息ETF的追蹤誤差並沒有顯著影響。
This study primarily investigates the relationship between cash dividends and tracking errors of Taiwan ETFs. The tracking error is calculated as the standard deviation of the squared differences between the net asset value returns of the ETF and its benchmark index. The analysis examines whether cash dividends influence the tracking errors of Taiwan ETFs. Furthermore, the interaction term Cash dividend × Volume is introduced to test if changes in trading volume affect the relationship between cash dividends and tracking errors. Finally, the study incorporates interest rates and a dummy variable for high-dividend ETFs to explore whether interest rates impact the tracking errors of Taiwan high-dividend ETFs. Empirical results show that larger cash dividends lead to greater tracking errors for Taiwan ETFs. This is attributed to the time gap between the ex-dividend date and the actual payment date, which is difficult to compensate for, as well as additional transaction costs incurred during the reinvestment of cash dividends and portfolio rebalancing. Additionally, the interaction term Cash dividend × Volume is negatively correlated with tracking errors, indicating that higher trading volumes mitigate the negative impact of cash dividends on tracking errors. Lastly, the study reveals that interest rates do not have a significant effect on the tracking errors of Taiwan high-dividend ETFs.
參考文獻 吳宗銘.(2008).台灣指數股票型基金之績效分析. 國立中正大學企業管理系碩士論文, 頁5–15 徐家琪.(2021).富櫃50指數之追蹤誤差成因探討. 國立政治大學財務管理所碩士論文, 頁7–19 黃鈺民.(2018).台灣ETF之追蹤誤差績效評估. 私立東吳大學經濟學系碩士論文, 頁45–55 劉殷如.(2004).指數股票型基金之績效評估及相關研究-以台灣首檔 ETF 為例. 國立成功大學會計學研究所碩士論文, 頁13–23 Aber, Jack W., Dan Li, and Luc Can. "Price Volatility and Tracking Ability of Etfs." Journal of asset management 10, no. 4 (2009): 210-21. Alamelu, L., and Nisha Goyal. "Investment Performance and Tracking Efficiency of Indian Equity Exchange Traded Funds." Asia-Pacific financial markets 30, no. 1 (2023): 165-88. Bertrand, Philippe. "Another Look at Portfolio Optimization under Tracking-Error Constraints." Financial analysts journal 66, no. 3 (2010): 78-90. Bessembinder, Hendrik, Te-Feng Chen, Goeun Choi, and KC Wei. "Do Global Stocks Outperform Us Treasury Bills?", Te-Feng and Choi, Goeun and Wei, Kuo-Chiang (John), Do Global Stocks Outperform US Treasury Bills (2019). Blume, Marshall E., and Roger M. Edelen. "S&P 500 Indexers, Tracking Error, and Liquidity." Journal of portfolio management 30, no. 3 (2004): 4-46. Buetow, Gerald W., and Brian J. Henderson. "An Empirical Analysis of Exchange-Traded Funds." Journal of portfolio management 38, no. 4 (2012): 112-27. Charteris, Ailie, and Kerry McCullough. "Tracking Error Vs Tracking Difference: Does It Matter?", The investment analysts journal 49, no. 3 (2020): 269-87. Chu, Patrick Kuok Kun, and Dan Xu. "Tracking Errors and Their Determinants: Evidence from Japan-Listed Exchange-Traded Funds." Journal of prediction markets 15, no. 1 (2021). DeFusco, Richard A., Stoyu I. Ivanov, and Gordon V. Karels. "The Exchange Traded Funds’ Pricing Deviation: Analysis and Forecasts." Journal of economics and finance 35, no. 2 (2011): 181-97. Delcoure, Natalya, and Maosen Zhong. "On the Premiums of Ishares." Journal of empirical finance 14, no. 2 (2007): 168-95. Dorocáková, Michaela. "Comparison of Etf´ S Performance Related to the Tracking Error." Journal of International Studies 10, no. 4 (2017): 154-165. Elton, Edwin J, Martin J Gruber, George Comer, and Kai Li. "Spiders: Where Are the Bugs?" In Exchange Traded Funds: Structure, Regulation and Application of a New Fund Class: Springer, 2005. Elton, Edwin J., Martin J. Gruber, and Andre de Souza. "Passive Mutual Funds and Etfs: Performance and Comparison." Journal of banking & finance 106 (2019): 265-75. Frino, Alex, and David Gallagher. "Tracking S&P 500 Index Funds." Journal of portfolio management 28, no. 1 (2001). Frino, Alex, David R. Gallagher, Albert S. Neubert, and Teddy N. Oetomo. "Index Design and Implications for Index Tracking." Journal of portfolio management 30, no. 2 (2004): 67-95. Gallagher, David R, and Reuben Segara. "The Performance and Trading Characteristics of Exchange-Traded Funds." Journal of Investment Strategy 1, no. 1 (2005): 47-58. Gastineau, Gary L. "The Benchmark Index Etf Performance Problem." The Journal of Portfolio Management 30, no. 2 (2004): 96-103. Hartzmark, Samuel M, and David H Solomon. "The Dividend Month Premium." Journal of Financial Economics 109, no. 3 (2013): 640-60. Hoffmann, Arvid OI, Hersh Shefrin, and Joost ME Pennings. "Behavioral Portfolio Analysis of Individual Investors." Available at SSRN 1629786 (2010). Jiang, Hao, and Zheng Sun. Equity Duration: A Puzzle on High Dividend Stocks. Michigan State University working paper (2015). Madura, Jeff, and Thanh Ngo. "Clustered Synergies in the Takeover Market." The Journal of financial research 31, no. 4 (2008): 333-356. Miffre, Joelle. "Country-Specific Etfs: An Efficient Approach to Global Asset Allocation." Journal of asset management 8, no. 2 (2007): 112-22. Miller, Merton H, and Franco Modigliani. "Dividend Policy, Growth, and the Valuation of Shares." Journal of Business 34, no. 4 (1961): 411-33. Pope, P. F., and P. K. Yadav. "Discovering Errors in Tracking Error." Journal of portfolio management 20, no. 2 (1994): 27-32. Rau, R., Blake Phillips, and Kuntara Pukthuanthong. "Size Doesn't Matter: Diseconomies of Scale in the Mutual Fund Industry Revisited." (2018) Roll, Richard. "A Mean/Variance Analysis of Tracking Error." Journal of portfolio management 18, no. 4 (1992): 13. Rompotis, Gerasimos G. "Predictable Patterns in Etfs' Return and Tracking Error." Studies in economics and finance (Charlotte, N.C.) 28, no. 1 (2011): 14-35. Rowley Jr, James J, and David T Kwon. "The Ins and Outs of Index Tracking." Journal of portfolio management 41, no. 3 (2015): 35. Sharpe, William F. "The Arithmetic of Active Management." Financial analysts journal 47, no. 1 (1991): 7-9. Yan, Xuemin. "Liquidity, Investment Style, and the Relation between Fund Size and Fund Performance." Journal of financial and quantitative analysis 43, no. 3 (2008): 741-67.
描述 碩士
國立政治大學
財務管理學系
111357012
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0111357012
資料類型 thesis
dc.contributor.advisor 盧敬植zh_TW
dc.contributor.author (Authors) 陳素婷zh_TW
dc.contributor.author (Authors) Chen, Su-Tingen_US
dc.creator (作者) 陳素婷zh_TW
dc.creator (作者) Chen, Su-Tingen_US
dc.date (日期) 2024en_US
dc.date.accessioned 5-Aug-2024 13:42:43 (UTC+8)-
dc.date.available 5-Aug-2024 13:42:43 (UTC+8)-
dc.date.issued (上傳時間) 5-Aug-2024 13:42:43 (UTC+8)-
dc.identifier (Other Identifiers) G0111357012en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/152723-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理學系zh_TW
dc.description (描述) 111357012zh_TW
dc.description.abstract (摘要) 本研究探討現金股利與台灣ETF追蹤誤差的關係，追蹤誤差的計算方式為ETF與追蹤指數的淨值報酬差距之平方總和，再取標準差作為追蹤誤差的衡量指標，分析現金股利是否會影響台灣ETF的追蹤誤差，並進一步加入現金股利與成交量的交乘項，來檢驗成交量改變時，是否會影響ETF的追蹤誤差與現金股利的關係。最後加入利率與高股息ETF的虛擬變數，探討利率是否會對台灣高股息ETF造成影響。 實証結果顯示，當現金股利越大，台灣ETF的追蹤誤差就會越大，除了因為除息日與實際發放日不同所造成的時間差距難以彌補外，現金股利再投資、投資組合再平衡的過程中也會產生額外的交易成本。另外，現金股利與成交量的交乘項與追蹤誤差呈現負相關，顯示當ETF成交量變大時，會減緩現金股利對追蹤誤差造成的負面影響。最後，研究顯示利率對台灣高股息ETF的追蹤誤差並沒有顯著影響。zh_TW
dc.description.abstract (摘要) This study primarily investigates the relationship between cash dividends and tracking errors of Taiwan ETFs. The tracking error is calculated as the standard deviation of the squared differences between the net asset value returns of the ETF and its benchmark index. The analysis examines whether cash dividends influence the tracking errors of Taiwan ETFs. Furthermore, the interaction term Cash dividend × Volume is introduced to test if changes in trading volume affect the relationship between cash dividends and tracking errors. Finally, the study incorporates interest rates and a dummy variable for high-dividend ETFs to explore whether interest rates impact the tracking errors of Taiwan high-dividend ETFs. Empirical results show that larger cash dividends lead to greater tracking errors for Taiwan ETFs. This is attributed to the time gap between the ex-dividend date and the actual payment date, which is difficult to compensate for, as well as additional transaction costs incurred during the reinvestment of cash dividends and portfolio rebalancing. Additionally, the interaction term Cash dividend × Volume is negatively correlated with tracking errors, indicating that higher trading volumes mitigate the negative impact of cash dividends on tracking errors. Lastly, the study reveals that interest rates do not have a significant effect on the tracking errors of Taiwan high-dividend ETFs.en_US
dc.description.tableofcontents 第一章、緒論1 第二章、文獻回顧5 第一節、指數化投資策略5 第二節、追縱誤差的成因6 第三節、本章小結9 第三章、研究方法11 第一節、資料來源與變數定義11 第二節、研究方法與實証模型17 第四章、實証結果與分析21 第一節、變數之敘述統計量21 第二節、追蹤誤差之比較23 第三節、現金股利與追蹤誤差25 第四節、成交量、現金股利與追蹤誤差27 第五節、利率與追蹤誤差30 第五章、結論與建議33 第一節、研究結論33 第二節、研究限制與後續建議35 參考資料36 中文文獻36 英文文獻36zh_TW
dc.format.extent 1461730 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0111357012en_US
dc.subject (關鍵詞) 現金股利zh_TW
dc.subject (關鍵詞) 追蹤誤差zh_TW
dc.subject (關鍵詞) 高股息zh_TW
dc.subject (關鍵詞) Cash dividendsen_US
dc.subject (關鍵詞) Tracking errorsen_US
dc.subject (關鍵詞) High-dividenden_US
dc.title (題名) 現金股利對台灣ETF追蹤誤差影響之實証研究zh_TW
dc.title (題名) The Impact of Cash Dividends on the Tracking Error of Taiwan ETFsen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 吳宗銘.(2008).台灣指數股票型基金之績效分析. 國立中正大學企業管理系碩士論文, 頁5–15 徐家琪.(2021).富櫃50指數之追蹤誤差成因探討. 國立政治大學財務管理所碩士論文, 頁7–19 黃鈺民.(2018).台灣ETF之追蹤誤差績效評估. 私立東吳大學經濟學系碩士論文, 頁45–55 劉殷如.(2004).指數股票型基金之績效評估及相關研究-以台灣首檔 ETF 為例. 國立成功大學會計學研究所碩士論文, 頁13–23 Aber, Jack W., Dan Li, and Luc Can. "Price Volatility and Tracking Ability of Etfs." Journal of asset management 10, no. 4 (2009): 210-21. Alamelu, L., and Nisha Goyal. "Investment Performance and Tracking Efficiency of Indian Equity Exchange Traded Funds." Asia-Pacific financial markets 30, no. 1 (2023): 165-88. Bertrand, Philippe. "Another Look at Portfolio Optimization under Tracking-Error Constraints." Financial analysts journal 66, no. 3 (2010): 78-90. Bessembinder, Hendrik, Te-Feng Chen, Goeun Choi, and KC Wei. "Do Global Stocks Outperform Us Treasury Bills?", Te-Feng and Choi, Goeun and Wei, Kuo-Chiang (John), Do Global Stocks Outperform US Treasury Bills (2019). Blume, Marshall E., and Roger M. Edelen. "S&P 500 Indexers, Tracking Error, and Liquidity." Journal of portfolio management 30, no. 3 (2004): 4-46. Buetow, Gerald W., and Brian J. Henderson. "An Empirical Analysis of Exchange-Traded Funds." Journal of portfolio management 38, no. 4 (2012): 112-27. Charteris, Ailie, and Kerry McCullough. "Tracking Error Vs Tracking Difference: Does It Matter?", The investment analysts journal 49, no. 3 (2020): 269-87. Chu, Patrick Kuok Kun, and Dan Xu. "Tracking Errors and Their Determinants: Evidence from Japan-Listed Exchange-Traded Funds." Journal of prediction markets 15, no. 1 (2021). DeFusco, Richard A., Stoyu I. Ivanov, and Gordon V. Karels. "The Exchange Traded Funds’ Pricing Deviation: Analysis and Forecasts." Journal of economics and finance 35, no. 2 (2011): 181-97. Delcoure, Natalya, and Maosen Zhong. "On the Premiums of Ishares." Journal of empirical finance 14, no. 2 (2007): 168-95. Dorocáková, Michaela. "Comparison of Etf´ S Performance Related to the Tracking Error." Journal of International Studies 10, no. 4 (2017): 154-165. Elton, Edwin J, Martin J Gruber, George Comer, and Kai Li. "Spiders: Where Are the Bugs?" In Exchange Traded Funds: Structure, Regulation and Application of a New Fund Class: Springer, 2005. Elton, Edwin J., Martin J. Gruber, and Andre de Souza. "Passive Mutual Funds and Etfs: Performance and Comparison." Journal of banking & finance 106 (2019): 265-75. Frino, Alex, and David Gallagher. "Tracking S&P 500 Index Funds." Journal of portfolio management 28, no. 1 (2001). Frino, Alex, David R. Gallagher, Albert S. Neubert, and Teddy N. Oetomo. "Index Design and Implications for Index Tracking." Journal of portfolio management 30, no. 2 (2004): 67-95. Gallagher, David R, and Reuben Segara. "The Performance and Trading Characteristics of Exchange-Traded Funds." Journal of Investment Strategy 1, no. 1 (2005): 47-58. Gastineau, Gary L. "The Benchmark Index Etf Performance Problem." The Journal of Portfolio Management 30, no. 2 (2004): 96-103. Hartzmark, Samuel M, and David H Solomon. "The Dividend Month Premium." Journal of Financial Economics 109, no. 3 (2013): 640-60. Hoffmann, Arvid OI, Hersh Shefrin, and Joost ME Pennings. "Behavioral Portfolio Analysis of Individual Investors." Available at SSRN 1629786 (2010). Jiang, Hao, and Zheng Sun. Equity Duration: A Puzzle on High Dividend Stocks. Michigan State University working paper (2015). Madura, Jeff, and Thanh Ngo. "Clustered Synergies in the Takeover Market." The Journal of financial research 31, no. 4 (2008): 333-356. Miffre, Joelle. "Country-Specific Etfs: An Efficient Approach to Global Asset Allocation." Journal of asset management 8, no. 2 (2007): 112-22. Miller, Merton H, and Franco Modigliani. "Dividend Policy, Growth, and the Valuation of Shares." Journal of Business 34, no. 4 (1961): 411-33. Pope, P. F., and P. K. Yadav. "Discovering Errors in Tracking Error." Journal of portfolio management 20, no. 2 (1994): 27-32. Rau, R., Blake Phillips, and Kuntara Pukthuanthong. "Size Doesn't Matter: Diseconomies of Scale in the Mutual Fund Industry Revisited." (2018) Roll, Richard. "A Mean/Variance Analysis of Tracking Error." Journal of portfolio management 18, no. 4 (1992): 13. Rompotis, Gerasimos G. "Predictable Patterns in Etfs' Return and Tracking Error." Studies in economics and finance (Charlotte, N.C.) 28, no. 1 (2011): 14-35. Rowley Jr, James J, and David T Kwon. "The Ins and Outs of Index Tracking." Journal of portfolio management 41, no. 3 (2015): 35. Sharpe, William F. "The Arithmetic of Active Management." Financial analysts journal 47, no. 1 (1991): 7-9. Yan, Xuemin. "Liquidity, Investment Style, and the Relation between Fund Size and Fund Performance." Journal of financial and quantitative analysis 43, no. 3 (2008): 741-67.zh_TW