1. NCCU Academic Hub
  2. Publications
  3. College of Commerce
  4. Theses
  5. Item

Publications-Theses

Article View/Open

Publication Export

Google ScholarTM

NCCU Library

Citation Infomation

Related Publications in TAIR

題名 台灣證交所上市之大中華ETF績效及投資選擇
The Performance and Investment Selection of Greater China ETFs Listed in Taiwan Stock Exchange
作者 廖庭玉
Liao, Ting Yu
貢獻者 朱浩民
Chu, Hau Min
廖庭玉
Liao, Ting Yu
關鍵詞 ETF
基金績效
追蹤誤差
折溢價
ETF
Fund performance
Tracking errors
Premium or discount
日期 2015
上傳時間 27-Jul-2015 11:24:30 (UTC+8)
摘要 ETF交易量占台灣證交所大盤比重不斷增加，截至2014年12月底止，ETF成交值占整體市場的1.88%、近五年來平均成交周轉率也高達235%，顯示投資人對ETF的熱衷程度及需求。
隨著滬港通打開中國資本市場國門，資金全面寬鬆搭配政府的總體政策奏效，中國股市上漲的引信已經點燃。國際資金持續流入香港和中國基金，全球配置型基金於中國的配置比例亦明顯增加。自2015年初以來就基金績效表現而言，與大陸股價指數連動的ETF表現最佳，而ETF的優勢就在於透過受益憑證連結標的指數，等同於買進一籃子的股票，可以有效掌握行情漲升的機會。
因此，本論文欲透過投資績效評估、追蹤誤差與折溢價風險三大主題之研究，來探究於台灣證交所上市連結大陸、香港股價指數的各檔ETF中，是否因為連結標的指數的不同而影響其表現，進而提供予投資人有效的ETF投資策略。
就績效評估而言，ETF淨值與其標的之走勢具一致性，且報酬率具有一定程度的相關性，其中FB上証(006205)基金績效表現最為出色；從追蹤誤差角度來說，本文中各檔ETF皆無顯著的追蹤誤差存在；若考量ETF折溢價風險，由於流動性、市場風險等因素，使得恆中國(0080)、恆香港(0081)、上証50(008201) 具明顯折溢價風險。
The proportion of the ETFs trading volume keeps increasing in Taiwan Stock Exchange market, having accounted for 1.88% in the overall market until December, 2014. Also, the average turnover rate of the ETF market over the past five years is 235%, indicating the investors’ increasing keenness on ETFs.
Shanghai-Hong Kong Stock Connect has opened China’s capital market to the world. With the comprehensive easing plan of capital markets and the government’s overall macroeconomics policies, China’s stock market has risen fast. International capitals kept pouring into Hong Kong and China, and the global allocation funds also increased their allocation ratio to China’s capital market. The ETFs listed on Taiwan Stock Exchange which are linked to the China stock indexes have been performing best since early 2015.
Therefore, the purpose of this thesis is to evaluate the performance of the greater china ETFs listed in Taiwan Stock Exchange through Sharpe ratio, Beta coefficient, and Jensen’s Alpha. Also, the premium or discount the risk and tracking errors are taken into considerations.
As for the performance evaluation, Fubon SSE180 ETF(006205) is the best-performing fund. The trend of the ETFs’ net asset value is consistent with their benchmark indexes. No significant tracking errors exist in the ETFs. Due to the liquidity risk and market risk, Hang Seng H-Share Index ETF(0080), Hang Seng Index ETF(0081), and W.I.S.E-SSE 50 China Tracker(008201) have significant discount risk.
參考文獻 [1]尤亭歡 (2014)，台灣、香港、中國三地ETF追蹤誤差之探討，國立台灣大學管理學院財務金融學系暨研究所論文。
[2]陳炳宏 (1998)，共同基金投資組合績效之研究，國立政治大學企業管理研究所論文。
[3]詹硯彰 (1997)，現代共同基金績效評鑑研究-台灣地區開放式股型基金績效評比，國立政治大學金融研究所論文。
[4]藍珮瑜 (2011)，A50中國指數ETF與滬深300A股指數ETF之折溢價的資訊內涵與因果關係，國立台灣大學管理學院財務金融學系暨研究所論文。
[5]Aber J. W., D. Li and L. Can (2009), “Price Volatility and Tracking Ability of ETFs,” Journal of Asset Management, Vol. 10, No. 4, pp. 210–221.
[6]Elton E. J., M. I. Gruber, G. Comer and K. Li (2002), “Spiders: Where Are the Bugs? ” The Journal of Business, Vol. 75, No. 3, pp. 453-472.
[7]Engle R. and D. Sarkar (2006), “Premiums-Discounts and Exchange Traded Funds,” Journal of Derivatives, Vol. 13, No. 4, pp.27-46.
[8]Jares T. E. and A.M. Lavin (2004), “Japan and Hong Kong Exchanged- Traded Funds: Discount, Returns, and Trading Strategies,” Journal of Financial Services Research, Vol.25, No.1, pp.57-69.
[9]Jensen M. C. (1969), “Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios,” The Journal of Business, Vol. 42, No.2, pp.167-247.
[10]Jiang Y., F. Guo, and T. Lan (2010), “Pricing Efficiency of China’s Exchange-Traded Fund Market,” The Chinese Economy, Vol. 43, No.5, pp. 32-49.
[11]Johnson W. F. (2008), “Tracking Errors of Exchange Traded Funds,” Journal of Asset Management, Vol. 10, pp. 253-262.
[12]Lin A. and A. Chou (2006), “The Tracking Error and Premium/Discount of Taiwan’s First Exchange Traded Fund,” Journal of Chinese Management Review, Vol.9, No. 3.
[13]Rompotis G. G. (2009), “Performance and Trading Characteristics of iShares: An Evaluation,” The IUP Journal of Applied Finance, Vol. 15, No. 7, pp.25-39.
[14]_____________ (2010), “Does Premium Impact ETF Returns? Evidence from iShares,” Journal of Asset Management, Vol. 11, No. 4, pp. 298–308.
[15]Sharpe W. F. (1964), “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk,” The Journal of Finance, Vol. XIX, No. 3, pp.425-440.
[16]____________ (1994), “The Sharpe Ratio,” The Journal of Portfolio Management, Fall 1994.
[17]Sharifzadeh M. and S. Hojat (2012), “An Analytical Performance Comparison of Exchange-Traded Funds with Index Funds 2002-2010,” Journal of Asset Management, Vol. 13, No. 3, pp.196-209.
描述 碩士
國立政治大學
金融研究所
102352023
資料來源 http://thesis.lib.nccu.edu.tw/record/#G1023520231
資料類型 thesis
dc.contributor.advisor 朱浩民zh_TW
dc.contributor.advisor Chu, Hau Minen_US
dc.contributor.author (Authors) 廖庭玉zh_TW
dc.contributor.author (Authors) Liao, Ting Yuen_US
dc.creator (作者) 廖庭玉zh_TW
dc.creator (作者) Liao, Ting Yuen_US
dc.date (日期) 2015en_US
dc.date.accessioned 27-Jul-2015 11:24:30 (UTC+8)-
dc.date.available 27-Jul-2015 11:24:30 (UTC+8)-
dc.date.issued (上傳時間) 27-Jul-2015 11:24:30 (UTC+8)-
dc.identifier (Other Identifiers) G1023520231en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/76876-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融研究所zh_TW
dc.description (描述) 102352023zh_TW
dc.description.abstract (摘要) ETF交易量占台灣證交所大盤比重不斷增加，截至2014年12月底止，ETF成交值占整體市場的1.88%、近五年來平均成交周轉率也高達235%，顯示投資人對ETF的熱衷程度及需求。
隨著滬港通打開中國資本市場國門，資金全面寬鬆搭配政府的總體政策奏效，中國股市上漲的引信已經點燃。國際資金持續流入香港和中國基金，全球配置型基金於中國的配置比例亦明顯增加。自2015年初以來就基金績效表現而言，與大陸股價指數連動的ETF表現最佳，而ETF的優勢就在於透過受益憑證連結標的指數，等同於買進一籃子的股票，可以有效掌握行情漲升的機會。
因此，本論文欲透過投資績效評估、追蹤誤差與折溢價風險三大主題之研究，來探究於台灣證交所上市連結大陸、香港股價指數的各檔ETF中，是否因為連結標的指數的不同而影響其表現，進而提供予投資人有效的ETF投資策略。
就績效評估而言，ETF淨值與其標的之走勢具一致性，且報酬率具有一定程度的相關性，其中FB上証(006205)基金績效表現最為出色；從追蹤誤差角度來說，本文中各檔ETF皆無顯著的追蹤誤差存在；若考量ETF折溢價風險，由於流動性、市場風險等因素，使得恆中國(0080)、恆香港(0081)、上証50(008201) 具明顯折溢價風險。		zh_TW
dc.description.abstract (摘要) The proportion of the ETFs trading volume keeps increasing in Taiwan Stock Exchange market, having accounted for 1.88% in the overall market until December, 2014. Also, the average turnover rate of the ETF market over the past five years is 235%, indicating the investors’ increasing keenness on ETFs.
Shanghai-Hong Kong Stock Connect has opened China’s capital market to the world. With the comprehensive easing plan of capital markets and the government’s overall macroeconomics policies, China’s stock market has risen fast. International capitals kept pouring into Hong Kong and China, and the global allocation funds also increased their allocation ratio to China’s capital market. The ETFs listed on Taiwan Stock Exchange which are linked to the China stock indexes have been performing best since early 2015.
Therefore, the purpose of this thesis is to evaluate the performance of the greater china ETFs listed in Taiwan Stock Exchange through Sharpe ratio, Beta coefficient, and Jensen’s Alpha. Also, the premium or discount the risk and tracking errors are taken into considerations.
As for the performance evaluation, Fubon SSE180 ETF(006205) is the best-performing fund. The trend of the ETFs’ net asset value is consistent with their benchmark indexes. No significant tracking errors exist in the ETFs. Due to the liquidity risk and market risk, Hang Seng H-Share Index ETF(0080), Hang Seng Index ETF(0081), and W.I.S.E-SSE 50 China Tracker(008201) have significant discount risk.		en_US
dc.description.tableofcontents 第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 研究架構 4
第二章 文獻探討 5
第一節 基金績效表現文獻探討 5
第二節 追蹤誤差及折溢價現象文獻探討 7
第三章 研究方法 11
第一節 研究設計 11
第二節 研究變數說明 11
第三節 研究方法與實證模型 13
第四章 實證結果 18
第一節 資料來源 18
第二節 資料描述 19
第三節 敘述統計 31
第四節 ETF績效評估 40
第五節 追蹤誤差之顯著性分析 52
第六節 折溢價風險之探討 54
第五章 結論與建議 67
第一節 研究結論 67
第二節 研究建議 68
參考文獻 69		zh_TW
dc.format.extent 2012478 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G1023520231en_US
dc.subject (關鍵詞) ETFzh_TW
dc.subject (關鍵詞) 基金績效zh_TW
dc.subject (關鍵詞) 追蹤誤差zh_TW
dc.subject (關鍵詞) 折溢價zh_TW
dc.subject (關鍵詞) ETFen_US
dc.subject (關鍵詞) Fund performanceen_US
dc.subject (關鍵詞) Tracking errorsen_US
dc.subject (關鍵詞) Premium or discounten_US
dc.title (題名) 台灣證交所上市之大中華ETF績效及投資選擇zh_TW
dc.title (題名) The Performance and Investment Selection of Greater China ETFs Listed in Taiwan Stock Exchangeen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) [1]尤亭歡 (2014)，台灣、香港、中國三地ETF追蹤誤差之探討，國立台灣大學管理學院財務金融學系暨研究所論文。
[2]陳炳宏 (1998)，共同基金投資組合績效之研究，國立政治大學企業管理研究所論文。
[3]詹硯彰 (1997)，現代共同基金績效評鑑研究-台灣地區開放式股型基金績效評比，國立政治大學金融研究所論文。
[4]藍珮瑜 (2011)，A50中國指數ETF與滬深300A股指數ETF之折溢價的資訊內涵與因果關係，國立台灣大學管理學院財務金融學系暨研究所論文。
[5]Aber J. W., D. Li and L. Can (2009), “Price Volatility and Tracking Ability of ETFs,” Journal of Asset Management, Vol. 10, No. 4, pp. 210–221.
[6]Elton E. J., M. I. Gruber, G. Comer and K. Li (2002), “Spiders: Where Are the Bugs? ” The Journal of Business, Vol. 75, No. 3, pp. 453-472.
[7]Engle R. and D. Sarkar (2006), “Premiums-Discounts and Exchange Traded Funds,” Journal of Derivatives, Vol. 13, No. 4, pp.27-46.
[8]Jares T. E. and A.M. Lavin (2004), “Japan and Hong Kong Exchanged- Traded Funds: Discount, Returns, and Trading Strategies,” Journal of Financial Services Research, Vol.25, No.1, pp.57-69.
[9]Jensen M. C. (1969), “Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios,” The Journal of Business, Vol. 42, No.2, pp.167-247.
[10]Jiang Y., F. Guo, and T. Lan (2010), “Pricing Efficiency of China’s Exchange-Traded Fund Market,” The Chinese Economy, Vol. 43, No.5, pp. 32-49.
[11]Johnson W. F. (2008), “Tracking Errors of Exchange Traded Funds,” Journal of Asset Management, Vol. 10, pp. 253-262.
[12]Lin A. and A. Chou (2006), “The Tracking Error and Premium/Discount of Taiwan’s First Exchange Traded Fund,” Journal of Chinese Management Review, Vol.9, No. 3.
[13]Rompotis G. G. (2009), “Performance and Trading Characteristics of iShares: An Evaluation,” The IUP Journal of Applied Finance, Vol. 15, No. 7, pp.25-39.
[14]_____________ (2010), “Does Premium Impact ETF Returns? Evidence from iShares,” Journal of Asset Management, Vol. 11, No. 4, pp. 298–308.
[15]Sharpe W. F. (1964), “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk,” The Journal of Finance, Vol. XIX, No. 3, pp.425-440.
[16]____________ (1994), “The Sharpe Ratio,” The Journal of Portfolio Management, Fall 1994.
[17]Sharifzadeh M. and S. Hojat (2012), “An Analytical Performance Comparison of Exchange-Traded Funds with Index Funds 2002-2010,” Journal of Asset Management, Vol. 13, No. 3, pp.196-209.		zh_TW