槓桿型/反向型ETF在台灣發行已經6年多，長期都存在著追蹤誤差問題，而又以反向型ETF最為明顯，本研究以動態再平衡的機制為出發，研究波動率的變化是否會影響追蹤誤差的大小，本研究將以恐慌指數作為市場情緒的波動領先指標，在捕捉動態相關後，波動所引起的追蹤誤差，是否不利ETF的表現，本研究採用DCC-GARCH模型進行實證研究，樣本採用元大50正2及反1作為標的。 研究發現當波動所引起的槓桿追蹤誤差加大時，對正向ETF報酬產生正向影響、反向ETF報酬產生負面影響；當波動所引起的反向ETF追蹤誤差加大時，對正向ETF報酬產生正向影響、反向ETF報酬產生負面影響。在趨勢效應及波動率效應下，反向ETF比正向ETF更容易出現負的追蹤誤差。 Leveraged / reverse type ETF has been published in Taiwan for more than six years, and there are long-term tracking error problems, and reverse ETF is the most obvious, this study will dynamic rebalancing mechanism for the study of whether the change in volatility Which will affect the tracking error. After tracking the dynamic correlation, the tracking error caused by the fluctuation is not conducive to the performance of the ETF. In this study, the DCC-GARCH model is used for empirical research , The sample using the yuanta T50 2X and T50-1X as the subject. It is found that the positive ETF reward has a negative effect on the positive ETF reward and the reverse ETF reward has a negative effect when the leverage error caused by the fluctuation increases. When the reverse ETF tracking error caused by the fluctuation increases, the positive ETF Remuneration has a positive impact, and reverse ETF compensation has a negative impact. Under the effect of tidal effect and volatility, the reverse ETF is more prone to negative tracking error than the forward.
