台灣ETFs市場成份股利、追蹤誤差研究

Research on Taiwan ETFs' Accumulated Dividends and Tracking Error

陳柏翰

指導教授 ： 張焯然

國立清華大學/科技管理學院/計量財務金融系/碩士(2013年)

摘要

ETFs已成為國際金融市場廣為交易的金融衍生性商品，對於ETFs的研究日益增加。本文研究發現國內、外ETFs不同股利發放形式將顯著影響追蹤誤差，過去國外文獻皆假設ETFs與指數在股利發放後收斂，亦即ETFs將成份股利全數發予投資人，然而台灣ETFs市場並非如此，由於ETFs收益分配限制與投資績效不佳，台灣ETFs投資人長期將蒙受股利損失，本文以台灣50、中型100、高股息、寶來電子，富邦金融等五檔基金研究；自上市以來，台灣50股利較成份累積股利每股少6.44元、中型100少1.56元、高股息少1.75元、寶來電子少4.79元，富邦金融少1.641元。由於ETFs與指數持續累積的股利落差將進一步影響追蹤誤差，因此，本文假設ETFs投資人不斷地將股利進行再投資，並與報酬指數比較，重新定義追蹤誤差，再投資報酬與報酬指數報酬落差即為基金追蹤誤差，如此可排除股利影響。無論一年、二年、三年、五年誤差皆顯著存在；投資人不應忽略。五檔基金誤差皆小於零，亦即再投資報酬小於報酬指數合理報酬，台灣50、中型100、高股息、寶電子、富邦金融一年誤差分別為-0.77%、-0.07%、-0.41%、-1.02%，-0.67%；二年誤差以台灣50、高股息最大，台灣50平均-1.75%、高股息-1.25%，中型100最小；三年誤差則以台灣50、寶電子最大，分別為-2.68%、-2.58%；五年誤差以寶電子-5.03%最大。
最後，ETFs推出後一般以為將降低期、現貨套利成本，促進期貨市場定價效率。因此，本文以持有成本模型研究台灣50期貨定價效率。實證結果顯示台灣50期貨定價效率不佳，誤差t檢定顯著；然而利用兩母體檢定指數、ETFs定價誤差的結果，證實ETFs確實顯著降低期貨定價誤差。另外，股利率顯著影響誤差，股利率為預估值，因此股利率愈高，愈難以預測，定價誤差愈大。

關鍵字

股票指數型基金 ； 追蹤誤差 ； 報酬指數 ； 持有成本 ； 台灣50期貨

並列摘要

ETFs have become the widely traded financial derivatives in the international markets. Literature about ETFs are increasing and increasing. The paper finds that different payment forms of ETFs dividends significantly affect funds’ tracking error between Taiwan and foreign markets. Past literature assumed ETFs and index converge after ETFs pay out dividends, meaning that ETFs pay out all dividends accumulated in funds to investors. However, Taiwan ETFs market is not the same as American ETFs markets. Because of restriction on the distribution of dividends and bad performance, ETFs investors may suffer dividends loss in the long run. The paper takes five ETFs for research, including Taiwan Top 50 ETF, Mid-Cap 100 ETF, Dividend Plus ETF, Elec Tech ETF, Fubon Financial ETF. Taiwan Top 50 ETF investors face 6.44 dollars loss per share since public issuing, Mid-Cap 100 ETF 1.56 dollars, Dividend Plus ETF 1.75 dollars, Elec Tech ETF 4.79 dollars, Fubon Financial 1.64 dollars. Accumulated dividend gaps between ETFs and index will further affect tracking error of ETFs. Thus, the paper assumes investors reinvest ETFs, comparing with the return index. We re-define tracking error as the difference between returns of reinvestment performance and return index, deleting effect of dividends. We find that no matter one, two, three or five-year tracking errors are statistically significant. Investors shouldn’t ignore. Tracking errors of five ETFs analyzed are all less than zero, meaning that reinvestment performance is less than return index performance. Taiwan Top 50’s one-year tracking error is -0.77%, Mid-Cap 100 -0.07%, Dividend Plus -0.41%, Elec Tech -1.02%, Fubon Financial -0.67%. Tracking errors of Taiwan Top 50 ETFs and Dividend Plus ETFs are max in two-year basis, with Taiwan Top 50 -1.75%, Dividend Plus -1.25. Tracking errors of Taiwan Top 50 ETFs and Elec Tech ETFs are max in three-year basis, with Taiwan Top 50 -2.68%, Elec Tech -2.58%. Elec Tech ETF’s tracking error is max in five-year basis, up to -5.03%.
Finally, it is generally believed that ETFs may reduce arbitrage costs and therefore promote pricing efficiency of futures market. Thus, we use cost of carry model to analyze Taiwan 50 futures pricing efficiency. The empirical results show that Taiwan 50 futures pricing is inefficient, t-test is statistically significant. However, two-parent test of pricing error in index and ETFs confirms ETFs does significantly reduce the futures pricing error. In addition, dividend yield significantly impacts on the tracking error. The higher the dividend yield, the more difficult to predict, errors are bigger.

並列關鍵字

ETFs ； tracking error ； return index ； cost of carry ； Taiwan 50 futures

參考文獻

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