西德州原油期貨基金之研究

本論文研究以ETF市場做為探討主題，國內出現了第一檔由元大投信推出的S&P500高盛原油ETF，透過投資原油期貨來追蹤原油指數，與原油價格有一定程度之連動。本研究利用向量自我迴歸模型研究期貨型ETF與傳統指數股票型基金、大盤指數三個變數各自落後期各四期以及三個變數各自成交量變動值。樣本期間從2018年3月6日至2019年6月10，所有筆數達到七十八萬八千九百多筆，資料頻率每15分鐘資料來探討變數之間的互動關係，以及是否存在價格領先落後的關係，透過變異數分解與衝擊反應函數觀測商品間對於其他商品的反應修正速度。實證結果發現ADF、PP單根檢定結果在1%顯著水準下均顯著拒絕單根檢定的虛無假設，顯示本研究之變數不存在單根現象，呈現定態時間數列。在向量自我迴歸模型分析中，元大台灣50基金報酬落後一期與當期的成交量變動值、元大期貨型基金落後兩期、台股加權指數成交量變動值均顯著影響當期，表示均具有價格領先的特性。預測誤差項變異數分解證明，一般指數型基金報酬相對於期貨型基金報酬對台股加權指數報酬的關係度來的更高

關鍵字

市場微結構；向量自我迴歸；衝擊反應函數

並列摘要

This thesis research takes the ETF market as the topic of discussion. The first S&P500 Goldman Sachs crude oil ETF launched by Yuanta Investment Trust appeared in Taiwan. The crude oil index is tracked by investing in crude oil futures, which has a certain degree of linkage with crude oil prices. This study uses a vector autoregressive model to study the three variables of futures ETFs, traditional index stock funds, and large-cap indexes, four periods each with lagging periods, and the volume changes of each of the three variables. During the sample period from March 6, 2018 to June 10, 2019, the total number of transactions reached more than 788,900, and the data frequency is used every 15 minutes to explore the interactive relationship between variables and whether there is a price. The relationship between leading and lagging, through the variance decomposition and shock response function to observe the speed of response correction among commodities to other commodities. The empirical results found that the single-root verification results of ADF and PP significantly rejected the null hypothesis of single-root verification at the 1% significance level, indicating that there is no single-root phenomenon in the variables of this study, and a steady-state time series is presented. In the vector self-regression model analysis, Yuanta Taiwan 50 fund returns one period behind and the current trading volume change value, Yuanta futures fund is two periods behind, and the Taiwan stock weighted index trading volume change value significantly affects the current period. All have the characteristics of leading price. The decomposition of the variance proves that the relationship between the return of the general index fund and the return of the futures fund on the weighted index of Taiwan stocks is higher.