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    Title: 台灣集中市場交易的A股ETF追蹤誤差研究
    Other Titles: Study on the performance of tracking errors : evidence from the China A-Share ETF on TWSE
    Authors: 李佳如;Lee, Chia-Ju
    Contributors: 淡江大學財務金融學系碩士在職專班
    李沃牆;李喬銘
    Keywords: A股ETF;指數股票型基金;追縱誤差;縱橫迴歸模型;ETF;A-Share ETF;Tracking Errors;Panel regression model
    Date: 2016
    Issue Date: 2017-08-24 23:33:07 (UTC+8)
    Abstract: 國內ETF投資比重逐年提高,A股ETF更是國人投資中國的最佳途徑之一。國際間對於ETF評量多以追蹤誤差程度為衡量標準,本研究採2013年至2015年的日資料,以台灣集中市場中發行滿一年的A股ETF為研究對象,利用縱橫迴歸模型實證,探討研究對象的追蹤誤差程度及相關影響因子。透過本研究,希望一般投資人能夠對A股ETF的追蹤誤差有所瞭解,並成為未來在挑選ETF時的投資參考依據。
    由實證研究結果,可歸納出以下結論:1、研究標的複製標的指數報酬的追蹤誤差極小,皆於1%顯著水準下顯著異於零,追蹤績效皆佳。2、影響追蹤誤差的因素方面,市值規模與追蹤誤差具顯著負相關,波動性則與追蹤誤差具顯著正相關,成交量對追蹤誤差影響的結果為不顯著。3、2014年A股崩跌事件確實對追蹤誤差造成顯著的影響。
    The proportion of ETF investment in the domestic investment has been increasing year by year and A-Shares ETF has become one of the best ways for people to invest in China.ETF is generally evaluated based on the extent of tracking error. In this context, this study takes the daily data (from 2013 to 2015) of A-Shares ETF issued for a full year in Taiwan Stock Exchange Market as study object and explores its extent of tracking error and related influencing factors via the Vertical and Horizontal Regression Model. The study aims to help the investors to have an understanding of the tracking error of A-Shares ETF which can be used as future references for the selection of ETFinvestment.
    The empirical study findings can be concluded as follows: 1) the tracking error of the index return of the study object and the replication object is very small and close to 0 under the Significance Level of 1% which shows an excellent tracking performance; 2) there is a significant negative correlation between the market value size and tracking error, and a significant positive correlation between the market volatility and tracking error, while the impact of trading volume on the tracking error is not significant; 3) the Crash of A-Shares in 2014 indeed has a significant impact on the tracking error.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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