台指報酬率對槓桿及反向型ETF單日報酬率之非線性分析

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Title:	台指報酬率對槓桿及反向型ETF單日報酬率之非線性分析
Other Titles:	Nonlinear study of TAIEX return on the leveraged and inverse ETFs return
Authors:	郭書亞;Kuo, Shu-ya
Contributors:	淡江大學財務金融學系碩士班聶建中;Nieh, Chieh-Chung
Keywords:	Inverse ETF;Leveraged ETF;Smooth Transition;反向ETF;平滑移轉;槓桿ETF
Date:	2017
Issue Date:	2018-08-03 14:40:56 (UTC+8)
Abstract:	根據統計槓桿及反向型ETF從2014年推出後，受到投資人的喜愛，直到2016年底規模已經超過新台幣1,600億元，槓桿及反向型ETF成交金額佔總體ETF成交金額已突破70%，槓桿型與反向型ETF相較於傳統ETF其優勢在於可以放大波動以提高報酬，或是反向操作達到部位完全避險，本研究要探討的問題是台灣大盤指數報酬率對槓桿及反向型ETF之非線性關係，因此選取三檔槓桿及反向型ETF作為研究樣本，採用Granger and Teräsvirta（1993）提出的平滑移轉迴歸模型(Smooth Transition Regression)，研究結果顯示台股報酬率對於本文選取之三檔槓桿及反向型ETF皆顯著相關；匯率及放款利率只對於台灣50槓桿兩倍之ETF皆顯著相關，其餘皆不顯著。 Since the launch of leveraged and reversed ETFs in 2014, these kind of products are very preferred by investors. The AUM(Asset under Management) of leveraged and reversed ETFs had reach over 160 billions NTD, over 70% of the entire market. The strength of leveraged and reversed ETFs is that, they can amplify volatility to increase return or operate inversely to perfect hedge. This paper conduct research on the non-linear relationship between Taiwan Stock Index and leveraged, reversed ETFs. We use 3 different leveraged and reversed ETFs as samples and applied in Smooth Transition Regression Model witch was pronounced by Granger and Teräsvirta in 1993. Result of research shows, the return of Taiwan Stock Index has a significant relationship between those 3 leveraged and reversed ETFs. Only Exchange rates and loan rate are relative significantly to Taiwan 50 2times leveraged ETF, others are not.
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Thesis

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