English  |  正體中文  |  简体中文  |  Items with full text/Total items : 52047/87178 (60%)
Visitors : 8679915      Online Users : 77
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/105102

    Title: 指數股票型基金績效管理 : 以追蹤海外指數為標的
    Other Titles: The exchange traded fund’s Tracking Error analysis : empirical research on China stock index ETF performance
    Authors: 盧永祥;Lu, Yung-Hsiang
    Contributors: 淡江大學財務金融學系碩士在職專班
    Keywords: 追蹤誤差;追蹤差異;被動式;ETF;Tracking error;Tracking Difference;Passive
    Date: 2015
    Issue Date: 2016-01-22 14:47:47 (UTC+8)
    Abstract: 過往研究多探討ETF市價與淨值套利或價格發現,ETF為追蹤指數,淨值與標的指數之報酬的追蹤差異為衡量ETF是否忠實追蹤指數,績效管理為基金經理之根本。本研究於大中華地區ETF追蹤差異加回已知費用及匯率影響後,與ETF管理因子及標的指數因子等進行分析。
    This paper analyzes the tracking performance including Tracking Error and Tracking Difference of 23 ETFs that ETFs benchmark are China stock index listed in Shanghai, Shenzhen, Hong Kong and Taiwan Stock Exchange.The sample period extends from November 29, 2004 to September 30, 2014.
    The known costs including management fees, custodian fees, transaction fees, transaction tax and other fees are been added back as well as also consider exchange rate changes in tracking performance analysis. The research use Panel Data’s Regression adding factors including cash dividends, redemption units, volatility and turnover rate as well as divide different markets and replication methods of ETF to analyze.
    The empirical result indicates that fx and ETF cost are not only factors from tracking difference. The benchmark turnover, volatility, constituent stock dividend and shares net change send significant signals to tracking difference. In addition between listing China stock exchange and listing non China stock exchange, others net income send significant signals of listing China stock exchange. Between full replication ETF and synthetic ETF, shares net change also send significant signals of replication ETF.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

    Files in This Item:

    File Description SizeFormat

    All items in 機構典藏 are protected by copyright, with all rights reserved.

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - Feedback