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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/93773

    Title: 中國A股ETF追蹤誤差績效之實證研究
    Other Titles: Study on the performance of tracking errors : evidence from the China A-share ETF
    Authors: 吳敏菁;Wu, Min-Ching
    Contributors: 淡江大學財務金融學系碩士在職專班
    李沃牆;盧文吉;Lee, Wo-Chiang;Lu, Wen-Ji
    Keywords: ETF;人民幣A股;追蹤誤差;縱橫迴歸模型;RMB A-shares;Tracking error;Panel regression model
    Date: 2013
    Issue Date: 2014-01-23 13:30:46 (UTC+8)
    Abstract: 本研究檢驗類香港交易所掛牌之A股標的ETF的追蹤誤差績效,包括開放了RQFII後所發行實物買賣ETF與原存在的合成型投資ETF。實證研究除了採用追蹤誤差檢定驗證各ETF與目標指數標的追蹤效果;並進一步運用縱橫迴歸模型評估影響追蹤誤差的成因。
    This study investigate the tracking error of the two A shares which are listed on the Hong Kong Stock Exchange since the underlying ETF, namely ,based on RQFII traded funds issued upon the physical presence and the original synthetic ETF. In empirical study, in addition to using tracking error test verify the ETF and the underlying index to track the target effect; and further to apply panel regression model to evaluate the factors of affecting tracking error.
    The empirical results show that, following the A-share market, HKEx ETF, tracking replication capabilities are very good, especially in the short-term follow effect; while further analysis of the tracking error of the trading frequency and find that volume is the most significant factor in affecting the tracking error .
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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