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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/110819


    Title: 槓桿型與反向型ETF之發行對台灣期貨市場波動率之影響 – 以台股期貨為例
    The impact of launch of leveraged and inverse ETFs on volatility of TAIEX futures
    Authors: 張書源
    Chang, Su-Yuan
    Contributors: 周冠男
    張書源
    Chang, Su-Yuan
    Keywords: 槓桿型及反向型ETF
    波動度
    每日重新平衡機制
    Date: 2017
    Issue Date: 2017-07-11 11:46:28 (UTC+8)
    Abstract: 槓桿型及反向型ETF需依市值波動進行每日重新平衡機制(Rebalancing)之資產調整,對市場可能產生追漲助跌之效果。本論文透過多元迴歸模型,檢驗槓桿型及反向型ETF上市後,台股期貨之波動率及成交量是否有顯著提升,實證結果發現,除對市場量能確有帶來顯著之提升效果外,對台股期貨之波動率並未達顯著之影響,此與多數國外文獻實證結果相符,分析可能之原因包括:(1)台股指數近年來之波動幅度受量能萎縮影響而變小,每日重新平衡機制所產生的追漲助跌影響程度相對受限。(2)與重新平衡機制的需求呈現負相關之申購與贖回活動,縮減每日重新平衡機制調整力道。(3)主管機關要求之ETF造市者制度,其完全相反之避險交易抵銷每日重新平衡機制之影響。(4)投資人依投信事業每日公告之ETF資料,進行尾盤交易策略,並於投信事業進行每日重新平衡機制之調整時回補。
    Reference: 參考文獻
    一、中文文獻
    1. 元大投信(2016),《元大台灣50單日正向2倍基金公開說明書》,元大投信網站(www.yuantaetfs.com/#/Instructions/1066)。
    2. 林昱廷 (2016),《我國掛牌ETF的種類及交易概況介紹》,發表於證券暨期貨月刊第三十四卷第三期 ,台北市,台灣。
    3. 陳其財 (2014),《開放投信事業募集槓桿型及反向型 ETF》,發表於證券暨期貨月刊 第三十二卷第十二期,台北市,台灣。
    4. 臺灣證券交易所 (2015),《指數股票型基金(ETF)簡介及現況》,臺灣證券交易所網站(www.twse.com.tw)。
    5. 蘇亭丰(2015),槓桿型及反向型ETF長短期追蹤績效之研究,國立台灣大學管理學院財務金融學系暨研究所碩士論文。
    二、 英文文獻
    1. Adam Welker (2012) ”Leveraged ETFs and Intraday Volatility” All Graduate Plan B and other Reports. Paper 205. Utah State University.
    2. Andrew Ross Sorkin (October 11, 2011) “Volatility, Thy Name is E.T.F.” The New York Times, DealBook Column.
    3. Harold Bradley and Robert E. Litan (Nov 12, 2010) “Choking the Recovery: Why New Growth Companies Aren’t Going Public And Unrecognized Risks Of Future Market Disruptions.” The Ewing Marion Kauffman Foundation.
    4. Minder Cheng and Ananth Madhavan (2009), ”The Dynamics of Leveraged and Inverse Exchange Traded Funds,” Journal of Investment Management, Vol. 7, No. 4, pp. 43-62.
    5. M. Deshpande, D. Mallick and R. Bhatia (2009), ”Understanding Ultrashort ETFs,” Barclays Capital Special Report, 5 January 2009.
    6. Ivan T. Ivanov and Stephen L. Lenkey, “Are Concerns About Leveraged ETFs Overblown?” Finance and Economics Discussion Series Divisions of Research & Statistics and Monetary Affairs Federal Reserve Board, Washington, D.C., 2014-106.
    7. Michael Rawson (December 26, 2011) “Leveraged ETFs Aren’t the Cause Of Increased Market Volatility” news.morningstar.com/articlenet/article.aspx?id=450684 as of June 1, 2012
    8. T. Lauricella, S. Pulliam and D. Gullapalli, “Are ETFs Driving Late-Day Turns? Leveraged Vehicles Seen Magnifying Other Bets; Last-Hour Volume Surge,” Wall Street Journal, 15 December 2008.
    9. Trainor Jr., W.J. (2010), ”Do Leveraged ETFs Increase Volatility,” Technology and Investment,1, pp. 215-220 (Published Online August 2010: http://www.SciRP.ort/journal/ti).
    三、 網頁資料
    1. BOOST,http://www.boostetp.com/
    2. 元大投信網站,http://www.yuantaetfs.com/#/Home/Index
    3. 國泰投信網站,https://www.cathaysite.com.tw/funds/etf/
    4. 臺灣證券交易所,http://www.tse.com.tw/ch/index.php
    Description: 碩士
    國立政治大學
    經營管理碩士學程(EMBA)
    104932127
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0104932127
    Data Type: thesis
    Appears in Collections:[經營管理碩士學程EMBA] 學位論文

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