指數股票型基金績效管理-以台股為投資標的

The Exchange Traded Fund’s Tracking Error Analysis －Empirical Research on Taiwan Stock Index ETFs Performance

許雅婷(Ya-Ting Hsu)

指導教授 ： 林蒼祥

共同指導教授 ： 蔡蒔銓(Shih-Chun Tsai)

淡江大學/商管學院/財務金融學系碩士在職專班/碩士(2015年)

https://doi.org/10.6846/TKU.2015.01087

摘要

用來衡量被動式基金績效管理優劣的指標，學術界與國際實務採用追蹤誤差作為度量標準，本研究利用日交易資料，研究台灣證券交易所上市之台股指數股票型基金追蹤效果。並進一步使用Panel Data迴歸模型分析基金與標的指數間追蹤差異成因，於還原基金配息與費用率等直接影響因子後，進一步探討造成追蹤差異的其他可能因素。
實證結果發現，還原基金配息與費用率後，台股指數股票型基金與標的指數間的追蹤差異仍然存在，影響追蹤差異的顯著因素是成分股週轉率、市場波動度、現金股利、期貨操作與其他貢獻，此外，在股利發放期間、基金規模大小與複製指數策略對追蹤差異亦具有顯著影響。

關鍵字

ETF ； 追蹤誤差 ； 被動式

並列摘要

This paper analyzes the tracking performance of 15 ETFs listed in Taiwan Stock Exchange. The sample period extends from January 30, 2003 to September 30, 2014.
The known costs including management fees, custodian fees, transaction fees, transaction tax and other fees are been added back in tracking performance analysis. The research use Panel Data’s Regression adding factors including cash dividends, redemption units, volatility and turnover rate and replication methods of ETF to analyze.
The empirical result indicates that constituent stock dividend and ETF cost are not only factors from tracking difference. The benchmark turnover, volatility, futures of portfolio and others net income send significant signals to tracking difference. In addition to this period of dividends and fund size and replication methods factors also send significant signals.

並列關鍵字

ETF ； Tracking Error ； Passive

參考文獻

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