指數股票型基金上市對指數基金的影響 -事件研究法之應用

The Effects of Exchange Traded Fund Openings on Conventional Mutual Funds--- An Event Study

張庭嘉(Ting-Chia Chang)

指導教授 ： 賴慧文

元智大學/管理學院/財務金融學系/碩士(2008年)

摘要

這篇論文主要是在探討當指數股票型基金(Exchange Traded Fund,ETF)上市時是否會對指數基金造成衝擊，本研究以1992年到2006間33個指數股票型基金和263個指數基金為研究對象，採用事件研究法，實證結果顯示，指數基金淨流量成長率、機構投資人和散戶投資人淨流量成長率都呈現負的累積異常淨流量成長率，此結果與假設相同，指數股票型基金和指數基金彼此存在著替代效果。未實現資本利得成長率呈現正向的累積趨勢以及累積異常指數基金費用成長率在事件期開始的前三個月有明顯下降的趨勢，此結果也與假設相同。

關鍵字

指數股票型基金 ； 指數基金 ； 事件研究法

並列摘要

This paper examines the impacts of Exchange Traded Fund (ETF) openings on conventional index funds by looking at a sample of 263 index funds that track 33 different ETFs over the period 1992 to 2006. The empirical results show that during the event window period (defined as three months prior to an ETF opening and one year after the opening), the cumulative abnormal net inflow growth rates of (1) matched conventional index funds, (2) matched index funds open to retailing investors, and (3) matched index funds open to institutional investors are all significantly negative, a result consistent with the hypothesis of "substitution effect". In addition, it is also found that the cumulative abnormal overhang growth rate is positive, suggesting that on average the capital gains of mutual funds are not distributed to investors over the event window period. Finally, it is found that the cumulative abnormal expense growth rate exhibits a significantly negative trend, also consistent with the hypothesis of "substitution effect".

並列關鍵字

Exchange Traded Fund (ETF) ； Conventional Index Fund ； Event Study

參考文獻

Agapova, Anna, 2007, Innovations in Financial Products: Conventional Mutual Index Funds versus Exchange Traded Funds. Working Paper, Georgia State University.

Campbell, J., S., Grossman and J. Wang, 1993, Trading Volume and Serial Correlation in Stock Returns. Quarterly Journal of Economics, 108, 905-939.

Chen, K.C. and L. Wu, 2001, Introduction and Expiration effects of Derivative Equity Warrants in Hong Kong. International Review of Financial Analysis, 10, 37-52.

Elton, E., M. Gruber, G. Comer, and K. Li, 2002, Spiders: Where are the Bugs? Journal of Business 75 (3), 453-473.

Gastineau, G., 2001, Exchange-Traded Funds: An Introduction, Journal of Portfolio Management 27 (3), 88.