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| Title: | 台灣首檔ETFs及其成分股市場流動性之研究 |
| Other Titles: | The market liquidity of the first ETFs and its underlying stocks in TSE
臺灣首檔ETFs及其成分股市場流動性之研究 |
| Authors: | 楊馥嘉;Yang, Fu-chia |
| Contributors: | 淡江大學管理科學研究所碩士班
倪衍森;Ni, Yen-sen |
| Keywords: | 指數股票型基金;成分股;市場流動性;買賣價差;Exchange-traded funds;Underlying stocks;Market liquidity;Bid-Ask spread |
| Date: | 2005 |
| Issue Date: | 2010-01-11 03:12:18 (UTC+8) |
| Abstract: | 本研究以台灣首檔指數股票型基金－「寶來台灣卓越50基金」及其成分股為對象，對其流動性做分析。過去由賣出報價減去買進報價之報價價差是被認為應用最廣泛的流動性衡量方式，然而由於台灣股市之不同價位股票有不同漲跌升降單位的限制，因此報價價差可能有其適用性的問題，是以本研究採用當日最高價減去最低價來當衡量台灣市場價差之替代變數，理由乃是台灣上市公司如台積電、國泰金等大型股，其每日股價之最高與最低價間差距並不大，認知上較常常最高與最低價拉得很大之上櫃股票為優，故以最高價減去最低價來衡量台灣股票市場之流動性應有其可行性。
本研究共分為三大構面，其一為探討此五十支股票是否因為成為ETF成分股而增加其流動性，並探討是否因為台灣50ETF的引入有助於台股期貨成交量之增長。其二乃是探討哪些變數是造成台灣50ETF及其成分股流動性顯著增加之原因。最後輔以因果相關分析，對台灣50ETF及其成分股與台股期貨三數列之日收盤價與成交量，做一因果關係之捕捉後，本實證結果有下列重要發現：
1.五十支成分股在納入ETF前後間之月平均成交量及月平均價差有顯著差異，代表ETF的納入似乎有助於成分股市場活絡度的提高，進而帶動期貨成交口數之增長。其成因乃為ETF可視為台股現貨之投資標的物，期貨可相對套利機會增加所致。
2.就影響台灣50ETF及其成分股之流動性變數而言，除風險、股價高低與價差呈正相關，市場活絡度與價差呈負相關外，在時間序列迴歸模型中，本研究也發現價差與成交量呈正相關，而與收盤價呈負向關係之特殊現象，和認知有異的原因可能為台灣股市有漲的時候拉抬速度不快，但跌的時候卻非常快速的特性，往往在股市下挫時呈現收盤價急跌，價差拉大的現象，故收盤價與價差反而呈負向關係。
3.就因果關係檢定方面，台股期貨報酬會影響到台灣50ETF之報酬且台股期貨之成交量會影響到ETF成分股之成交量。其成因乃是當期貨與現貨價格偏離時，而偏離成因可能肇因於法人的拉抬，尤其是某類法人偏好尾盤的拉抬，致使投資人隔日可能會介入ETF進行套利動作，進而造成隔日ETF之價量為之變動。而上述此兩種現象並不存在反向關係，原因為ETF如同上市的單一個股，其成交量並不大，所以法人很難藉由ETF之介入來撼動台股期貨之價量關係。
This research investigates liquidity effects of the first Exchange Traded Fund (ETFs) in Taiwan - Polaris Taiwan Top 50 Tracker Fund (TTT) and its underlying stocks. Actually, the quoted spread is used to define as the difference between ask and bid; however, due to the special regulation in TSE, the spread between bid and ask is fixed within given stock price range, but different stock price range will be regulated by different spreads. Therefore, we adopt another spread measurement defined by the price distance between the highest and the lowest trading price as the liquidity variable in this study.
This research is divided into three aspects. One is to discuss the liquidity of stock index futures and the component stocks of ETFs will become better after introducing ETFs in TSE. Another is to find what variables will affect the liquidity of the ETFs and its component stocks. The other is use Granger causality analysis to find the price and volume interrelationship among ETFs, its component stocks, and stock index futures, and our important finding are as follows:
1. After introducing ETFs in Taiwan stock market (TSM), the market liquidity of 50 component stocks of ETFs and the trading volume of stock index futures are improved. The possible reasons is that ETF could be regarded as spot instrument. Thus, arbitrage opportunities will be increased by trading spots and futures simultaneously.
2. In this study, we found that risks and stock prices are positive with spread, similar to the findings in previous study. However, we find the stock price of the ETFs is negative with spread in the time series models. The possible reason is that the rising speed of Taiwan stock market might not be quick, but the falling speed of TSM might be extremely fast, therefore the closing price and the spread are negative.
3. In Granger causality analysis, we find stock index futures might affect ETFs in the behavior of stock returns, and the stock index futures might affect the component stocks of ETFs in the behavior of trading volume. |
| Appears in Collections: | [管理科學學系暨研究所] 學位論文
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