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| Title: | 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 |
| Authors: | 廖庭玉
Liao, Ting Yu |
| Contributors: | 朱浩民
Chu, Hau Min
廖庭玉
Liao, Ting Yu |
| Keywords: | ETF
基金績效
追蹤誤差
折溢價
ETF
Fund performance
Tracking errors
Premium or discount |
| Date: | 2015 |
| Issue Date: | 2015-07-27 11:24:30 (UTC+8) |
| Abstract: | 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. |
| Reference: | [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.
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[7]Engle R. and D. Sarkar (2006), “Premiums-Discounts and Exchange Traded Funds,” Journal of Derivatives, Vol. 13, No. 4, pp.27-46.
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[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. |
| Description: | 碩士
國立政治大學
金融研究所
102352023 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G1023520231 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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