台灣指數股票型基金與總體經濟變數相關性之實證研究

An Empirical Analysis of the Relationship between Taiwan Stock Index Fund and Macroeconomic Variables

陳秀儀(Hsui-yi Chen)

指導教授 ： 陳瑞璽

大同大學/經營設計學院/事業經營學系所/碩士(2009年)

摘要

近年來國際證券市場金融創新腳步呈現跳躍式的成長，其中以指數型產品發展最為快速，而國內主管機關與投資市場先進皆積極致力於此ETF產品的開發。本篇研究試著探討寶來台灣卓越50基金，因為其成立時間最久且成交量為最大，並選樣我國8項總體經濟變數：(1)出口貿易總值變化、(2)進口貿易總額變化、(3)製造業新接訂單指數變化、(4)失業率、(5)貨幣供給額(M2)變化、(6)商業本票次級市場利率(91-180天期)、(7)躉售物價指數變化 2006=100(經季節調整)、(8)匯率變化，藉由單根檢定及EGARCH來探討指數股票型基金及總體經濟變數二者之間的相關性。
本文之實證結果顯示風險愈大時，基金之報酬也會愈大；基金前期報酬對本期基金報酬呈現不顯著的估計值，前期成交量則與本期基金報酬顯著負相關，週轉率與本期基金報酬呈顯著正相關，出口總額愈大則基金之報酬也愈高，進口總額愈大則基金報酬愈低，製造業新接訂單指數與基金報酬之關係則不具顯著性，利率及貨幣供給愈高則基金之報酬愈高，而躉售物價指數則與基金之報酬呈負相關，失業率及匯率二變數與基金報酬亦不具顯著性。本文所作的樣本外預測亦顯示本模型具有預測能力。

關鍵字

指數股票型基金 ； 總體經濟變數

並列摘要

Over the recent years, financial innovations in the international securities markets have jumps in leaps and bounds, especially index-linked products. This paper samples the data of Polaris Taiwan Top 50 Tracker Fund because it has the longest history and largest trading volume. Meanwhile, a total of eight macro economic variables are incorporated. They are (1) changes in total export value; (2) changes in total import value; (3) changes in MFG's New Orders Index; (4) unemployment rates; (5) changes in M2, a money supply indicator; (6) secondary market rates for commercial papers (91-180 days); (7) changes in Wholesale Price Index, 2006=100, seasonality adjusted; (8) exchange in exchange rate. This paper conducts unit root tests and EGARCH to examine the correlation between ETFs and macro economic variables.
This empirical study shows that the greater the risks, the higher the returns to ETFs. The returns of the previous period and the current period do not yield significant estimates. The trading volume of the previous period and the returns during the current period are significantly negatively correlated. The turnover and the returns during the current period show a significantly positive correlation. The greater the export value, the higher the returns to ETFs. However, the higher the export value, the worst the returns to ETFs. The correlation between MFG's New Orders Index and returns to ETFs is not significant. The higher the interest rates and money supply, the better the returns to ETFs. There is a negative correlation between Wholesale Price Index and returns to ETFs. Neither unemployment rates nor exchange rates have any significant correlation with the returns to ETFs. The out-of-sample forecasts made by this paper also demonstrate that the model boasts forecast ability.

並列關鍵字

Exchange-Traded Fund (ETF) ； Macroeconomic Variables

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