| dc.contributor.advisor | 林基煌 | zh_TW |
| dc.contributor.advisor | Lin, Chi Huang | en_US |
| dc.contributor.author (作者) | 林淑惠 | zh_TW |
| dc.contributor.author (作者) | 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 | 29-九月-2011 16:47:52 (UTC+8) | - |
| dc.date.available | 29-九月-2011 16:47:52 (UTC+8) | - |
| dc.date.issued (上傳時間) | 29-九月-2011 16:47:52 (UTC+8) | - |
| dc.identifier (其他 識別碼) | 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 |
| dc.relation.reference (參考文獻) | Reference | zh_TW |
| dc.relation.reference (參考文獻) | Ackert, L.F., Tian, Y.S., 2000, Arbitrage and Valuation in the Market for Standard and Poor`s Depositary Receipts, Financial Management 29-3, 71-88. | zh_TW |
| dc.relation.reference (參考文獻) | Ackert, L.F., Tian, Y.S., 2008, Arbitrage, Liquidity, and the Valuation of Exchange Traded Funds, Financial Markets, Institutions & Instruments 17-5, 331–362. | zh_TW |
| dc.relation.reference (參考文獻) | Arshanapalli, B., Choi, J.J., Clagget, E.T. Jr., Doukas, J., 1996. Explaining premiums and discounts on closed-end equity country funds. Journal of Applied Corporate Finance 9, 109–117. | zh_TW |
| dc.relation.reference (參考文獻) | Bailey, W. and Lim, J., 1992, Evaluating the Diversification Benefits of the New Country Funds, The Journal of Portfolio Management, 18-3, 74-80. | zh_TW |
| dc.relation.reference (參考文獻) | Barney, L., 2000, Challenges seen in Exchange Fund growth, Mutual Fund Market News 8, 3-5. | zh_TW |
| dc.relation.reference (參考文獻) | Becker, K., Finnerty, J., & Gupta, M., 1990, The intertemporal relationship between the US and Japanese stock markets, Journal of Finance 45, 1297–1306. | zh_TW |
| dc.relation.reference (參考文獻) | Becker, G., Urias, M.S., 1996, Diversification, Integration and Emerging Market Closed-End Funds, Journal of Finance 51-3, 835-869. | zh_TW |
| dc.relation.reference (參考文獻) | Berk, J.B., & Stanton, R., 2007, Managerial ability, compensation, and the closed-end fund discount, Journal of Finance 62-2, 529–556. | zh_TW |
| dc.relation.reference (參考文獻) | Chandar, N., Patro, D.K., 2000, Why do closed-end country funds trade at enormous premiums during currency crises? Pacific-Basin Finance Journal 8-2, 217–248. | zh_TW |
| dc.relation.reference (參考文獻) | Chang, E., Euna, C. S., and Kolodny, R., 1995, International diversification through closed-end country funds, Journal of Banking & Finance 19-7, 1237-1263. | zh_TW |
| dc.relation.reference (參考文獻) | Cheung, Y.W., Lai, K.S., 1993, Finite-sample sizes of Johansen’s likelihood ratio tests for cointegration, Oxford Bulletin of Economics and Statistics 55, 313-328. | zh_TW |
| dc.relation.reference (參考文獻) | Choi, J.J., Lee, I., 1996, Market segmentation and the valuation of closed-end country fund: an empirical analysis, Review of Quantitative Finance and Accounting 7, 45-63. | zh_TW |
| dc.relation.reference (參考文獻) | Delcoure, N. and M. Zhong, 2007, On the Premiums of iShares, Journal of Empirical Finance 14-2, 168–95. | zh_TW |
| dc.relation.reference (參考文獻) | Dimson, E., & Minio-Kozerski, C., 1998, Closed-end funds: a survey, Financial Markets, Institutions and Instruments 8, 1–41. | zh_TW |
| dc.relation.reference (參考文獻) | Durand R.B., Scott D., 2003, iShares Australia: a clinical study in international behavioral finance, International Review of Financial Analysis 143, 1–17. | zh_TW |
| dc.relation.reference (參考文獻) | Elton E.J., Gruber M.J., Comer G., Li K., 2002, Spiders: where are the bugs?, Journal of Business 75-3, 453-472 | zh_TW |
| dc.relation.reference (參考文獻) | Engle, R.F., Granger, C.W.J., 1987, Cointegration and error-correction: Representation, estimation, and testing, Econometrica 55, 251-276. | zh_TW |
| dc.relation.reference (參考文獻) | Engle, R., Sarkar, D., 2006, Premiums-discounts and exchange traded funds, Journal of derivatives, 35-53. | zh_TW |
| dc.relation.reference (參考文獻) | Eun, C., Shim, S., 1989, International transmission of stock market movements. Journal of Financial and Quantitative Analysis 24, 241–256. | zh_TW |
| dc.relation.reference (參考文獻) | Eun, C. S., Huang, W., Lai, S., 2008, International Diversification with Large- and Small-Cap Stocks, Journal of Financial and Quantitative Analysis, 43, 489-524. | zh_TW |
| dc.relation.reference (參考文獻) | Fama, E. F., 1970, Efficient capital markets: a review of theory and empirical work. Journal of Finance 25, 383–417. | zh_TW |
| dc.relation.reference (參考文獻) | Fama, E. F., 1998, Market efficiency, long-term returns, and behavioral finance. Journal of Financial Economics 49, 283–306. | zh_TW |
| dc.relation.reference (參考文獻) | Glover, H., 2006, International ETF Assets Doubled Over Past Year To Nearly $83 Billion, Money Management Executive, Aug. 14, 2006. | zh_TW |
| dc.relation.reference (參考文獻) | Hughen, J.C., 2003, How effective is arbitrage of foreign stocks? The case of Malaysia Exchange-traded fund, Multinational Business Review 11-2, 17-27. | zh_TW |
| dc.relation.reference (參考文獻) | Jaffe, C., DON`T BE STUPID; Homestead fund is far afield for indexer, Boston Herald, May 17, 2005. | zh_TW |
| dc.relation.reference (參考文獻) | Johansen, S., 1991, Estimation and Hypothesis Testing of Cointegrated Vector in Gaussian Vector Autoregressive Models, Econometrica 59, 1551-1580. | zh_TW |
| dc.relation.reference (參考文獻) | Johansen, S., 1995, Likelihood-based Inference in Cointegration Vector Autoregressive Models, Oxford: Oxford University Press. | zh_TW |
| dc.relation.reference (參考文獻) | Jong, J.C., Rhee, S. G., 2008, Abnormal returns with momentum/contrarian strategies using exchange-traded funds, Journal of Asset Management 9, 289–299. | zh_TW |
| dc.relation.reference (參考文獻) | Kalaycioglu, S., 2004, Exchange Traded Fund Flows, Working paper. | zh_TW |
| dc.relation.reference (參考文獻) | Karolyi1, G.A., 2006, The World of Cross-Listings and Cross-Listings of the World: Challenging Conventional Wisdom, Review of Finance 10-1, 99-152. | zh_TW |
| dc.relation.reference (參考文獻) | Keim, D., 1999, An analysis of mutual fund design: the case of investing in small cap stocks, Journal of Financial Economics 51, 173-194. | zh_TW |
| dc.relation.reference (參考文獻) | Kim, M., Szakmary, A., & Mathur, I., 2000, Price transmission dynamics between ADRs and their underlying foreign securities, Journal of Banking and Finance 24, 1359–1382. | zh_TW |
| dc.relation.reference (參考文獻) | Klibanoff, P., Lamont, O., &Wizman, T. A., 1998, Investor reaction to salient news in closed-end country funds, Journal of Finance 53-2, 673−699. | zh_TW |
| dc.relation.reference (參考文獻) | Lee, B., & Hong, G., 2002, On the dual characteristics of closed-end country funds, Journal of International Money and Finance 21, 589-618. | zh_TW |
| dc.relation.reference (參考文獻) | Lin, J.J., 2005, Impact of Taiwan top 50 tracker fund on the component stocks of Taiwan 50 Index, Ph.D dissertation, National Chen Kung University. | zh_TW |
| dc.relation.reference (參考文獻) | Lee, C. M. C., Shleifer, A., and Thaler., R. H., 1991, Investor sentiment and the closed-end fund puzzle, Journal of Finance, 46-1, 75-109. | zh_TW |
| dc.relation.reference (參考文獻) | MaNally, K., D. Emanuel, and J. Chiu, 2000, Fundamental ideas for Exchange-traded Funds, Salomon Smith Barney U.S. Equity Research Report, October 18. | zh_TW |
| dc.relation.reference (參考文獻) | Narayan Suryakumar, 2011, Exchange-Traded Funds: Mechanics and Risks, IMF World Economic Outlook, April 2011. | zh_TW |
| dc.relation.reference (參考文獻) | Olienyk, J., Schwebach, R., & Zumwalt, J. K., 1999, WEBS, SPDRs, and country funds: an analysis of international cointegration. Journal of Multinational Financial Management 9, 217–232. | zh_TW |
| dc.relation.reference (參考文獻) | Patro D.K., 2005, Stock Market Liberalization and Emerging Market Country Fund Premiums, Journal of Business 78-1, 135-168. | zh_TW |
| dc.relation.reference (參考文獻) | Pennathur A.K., Delcoure N., Anderson D., 2002, Diversification Benefits of iShares and Closed-end Country Funds, Journal of Financial Research 25-4, 541-557. | zh_TW |
| dc.relation.reference (參考文獻) | Phengpis, C. and Swanson, P. E., 2009, iShares and the US Market Risk Exposure. Journal of Business Finance & Accounting 36, 972–986. | zh_TW |
| dc.relation.reference (參考文獻) | Pontiff, J., 1997, Excess volatility and closed-end country funds, American Economic Review 87, 155-169. | zh_TW |
| dc.relation.reference (參考文獻) | Simon, D. P. and Sternberg, J, S., 2005, Overreaction and Trading Strategies in European iShares, The Journal of Alternative Investments 8-1, 29-41. | zh_TW |
| dc.relation.reference (參考文獻) | Sims, C. A., 1980, Macroeconomics and reality, Econometrica 481, 1-48. | zh_TW |
| dc.relation.reference (參考文獻) | Taylor, A. P., 2005, “ Discussion of Risk Exposures and International Diversification: Evidence from iShares, Journal of Business Finance and Accounting 32, 773-776. | zh_TW |
| dc.relation.reference (參考文獻) | Tse Y., Erenburg G., 2003, Competition for order flow, market quality, and price discovery in the Nasdaq 100 index tracking stock, Journal of Financial Research 26-3, 301-318. | zh_TW |
| dc.relation.reference (參考文獻) | Warther, V. A., 1995, Aggregate mutual fund flows and security returns, Journal of Financial Economics 39, 209-235. | zh_TW |
| dc.relation.reference (參考文獻) | Wiandt J., McClatchy W., 2002, Exchange Traded Funds, John Wiley & Sons. | zh_TW |
| dc.relation.reference (參考文獻) | Tse, Y., Martinez, V., 2007, Price discovery and informational efficiency of international iShares funds, Global Finance Journal 18-1, 1-15. | zh_TW |
| dc.relation.reference (參考文獻) | Zhong M., Darrat A.F., Anderson D.C., 2003, Do US stock prices deviate from their fundamental values? Some new evidence, Journal of Banking and Finance 27-4, 673-697. | zh_TW |
| dc.relation.reference (參考文獻) | Zhong M., Yang H., 2005, Risk Exposures and International Diversification: Evidence from iShares, Journal of Business Finance and Accounting 32, 737-772. | zh_TW |
