全球主要指數股票型基金之外溢效果與績效之研究

The Study of Spillover Effects and Performance for Global Major Exchange Traded Funds

黃麒元(Chyi-Yuan Huang)

指導教授 ： 陳若暉

中原大學/商學院/企業管理研究所/碩士(2005年)

https://doi.org/10.6840/cycu200500273

摘要

中文摘要
本研究利用GARCH(1,1)-MA(1)模型，針對各國(地區)股價指數、指數股票型基金(ETF)和股票型共同基金報酬率之間的關聯性與外溢效果進行研究。
歸納本研究實證分析的結果如下：
一、在各國(地區)整體績效排名方面，指數股票型基金(ETF)報酬率，除臺灣績效排名第八和日本績效排名第五外，其餘的國家(地區) ETF皆優於股價指數與股票型共同基金，顯示出被動式基金績效優於大部份主動式基金績效和股價指數而取得相對性的報酬率。
二、由GARCH(1,1)檢定法的實證分析發現，各國(地區)市場股票指數、ETF和共同基金在取樣期間日報酬率波動序列中，殘差項的條件變異數會隨時間變動而變動符合GARCH效果。
三、本研究使用多元GARCH(1,1)-MA(1)模型，分析各國(地區)股價指數、指數股票型基金(ETF)和股票型共同基金報酬率與波動性的外溢效果。在報酬率外溢效果方面，實證發現，加拿大、香港、英國、德國及新加坡股票指數報酬率對ETF和股票型基金影響顯著。另香港的報酬率的外溢效果表現最佳，其次為英國及德國，表現最差的是臺灣。而ETF、股票型基金對市場指數存在報酬率外溢效果:日本、英國與韓國的ETF和股票型基金對股票市場指數報酬率影響顯著，報酬率的外溢效果表現最好的是英國，其次為韓國，表現最差的是加拿大及法國。
而各國(地區)股價指數對指數股票型基金(ETF)和股票型共同基金波動性外溢效果均存在有雙向顯著的影響關係。

關鍵字

GARCH模型 ； 指數股票型基金 ； 波動性 ； 外溢效果

並列摘要

Abstract
This research used GARCH(1,1)-MA(1) model for the empirical analysis and studied on the spillover effects and performance among stock index, global major exchange traded funds, and stock funds.
The empirical results were as following:
1.) By analyzing performing ranks for specific companies, the returns of Exchange Traded Funds（ETF）, except ranking 8 of Taiwan and 5 of Japan, are superior to Stock Index or Equity Mutual Fund. Noted that performance on passive fund which obtained relativity reward was superior to most active funds and Stock Index.
2.) After reviewing the results of GARCH（1,1）, we examined the volatility of daily returns in each specific country (district) for Stock Index and Exchange Traded Funds（ETF）. The results show that under the sampling period the conditions variance of errors may vary in response to on time changes which complied with GRACH effect.
3.) This study used multiple GARCH（1,1）-MA（1）model to analyze the spillover effects of returns and their volatility for stock index, Exchange Traded Funds（ETF）and stock funds in specific countries (districts). We found that the spillover effect of Stock Index has greatly impacted on Exchange Traded Funds（ETF）in countries such as Canada, Hong Kong, United Kingdom, Germany and Singapore. The best performance is in Hong Kong, following by United Kings and Germany, while Taiwan is the most ineffective one. Moreover, the Exchange Traded Fund and stock funds in Japan, United Kingdom, Korea have a great impact on the returns of stock index. We found that spillover effects of returns for UK has an excellent performance, following by Korea, while Canada and France recorded as the most ineffective one. Finally, the volatility of spillover effects of stock index may exist reflective effects for both Exchange Traded Fund（ETF）and stock funds for all specific countries（districts）.

並列關鍵字

Volatility ； Spillover Effects ； GARCH Model ； Exchange Traded Funds

參考文獻

16.黃綺年，(2004)，「統計方法與類神經網路應用於國內開放式股票型基金投資績效分類及投資報酬率預測之研究」，國立成功大學統計系未出版碩士論文。

10.林秀純，(2004)，「美國共同基金動能策略之研究」，國立成功大學財務金融研究所未出版碩士論文。

24.賈景宇，(2001)，「臺灣創新型認購權證在不同波動性模型下之比較」，私立中原大學企業管理研究所未出版碩士論文。

1.Akgiray,V.(1989),“Conditional Heteroscedasticity in Time Series of Stock Returns：Evidence and Forecasts” ,The Jourmal of Business, Vol.62,pp55-80.

2.Andersen, T. and T. Bollerslev(1998) ,“Answering the Skeptics：Yes,Standard Volatility Models Do Provide Accurate Forecasts”,International Economic Review,Vol.39,pp885-905.