Title

多空頭市場下台灣與美國ETF之研究-以台灣50ETF及SPDR為例

Translated Titles

ETF Researching for Bull and Bear Market of Taiwan and U.S.A.-Example of Taiwan 50 ETF and SPDR

DOI

10.6846/TKU.2012.00946

Authors

李伊容

Key Words

指數股票型基金 ; 台灣50 ; Exchange Traded fund ; ETF ; GJR GARCH ; Taiwan50 ; SPDR

PublicationName

淡江大學財務金融學系碩士在職專班學位論文

Volume or Term/Year and Month of Publication

2012年

Academic Degree Category

碩士

Advisor

邱建良

Content Language

繁體中文

Chinese Abstract

本研究以台灣50ETF及美國SPDR為主要研究對象並以大盤指數及利率為解釋變數,研究期間取自2007年11月1日至2011年10月31日止,並將市場區分為多、空頭期間。以GJR GARCH模型探討台灣及美國ETF市場於多、空頭市場下其大盤指數報酬及利率對ETF報酬之序列關係是否存在差異性,並實證台灣與美國ETF市場是否存在波動不對稱性,及於多、空市場下是否存在差異性。 實證結果顯示,台灣及美國市場其大盤指數報酬對ETF報酬確實具有高度正向影響關係。在全樣本期間及多頭市場下,台灣及美國市場其利率對於其ETF報酬均呈現正向影響關係,並無差異;但於空頭市場下,台灣與美國市場其利率對ETF報酬之影響則存在差異性。波動不對稱性方面,美國ETF市場無論於多頭或空頭市場均顯著呈現非預期負向訊息對市場所造成之波動大於非預期正向訊息,市場存在波動不對稱;而台灣ETF市場於空頭期間實證結果則不具顯著性。

English Abstract

This study investigates Taiwan 50ETF and SPDR in America based on aggregating index number and its interest rates with its time duration from November 1st of 2007 to October 31st of 2011. The market is distinguished between long position and short position periods. This paper discusses whether there is any difference between the aggregating index number and interest rates of the Taiwanese and American ETF markets to ETF rewards under the condition of long and short position markets, taking GJR GARCH for example. Furthermore, it demonstrates from true examples whether there is any fluctuation asymmetry of Taiwanese and American ETF markets and if there is any difference under bull and bear index market. As is shown in the empirical results, there are indeed high positive influence relationships for the aggregating index number to ETF rewards in Taiwan and America markets. Under complete sample and long position markets, the interest rates of Taiwan and America markets to ETF reports are all positive influence relationships without any difference; however, under short position market, there are differences between the interest rates of Taiwan and America markets to ETF rewards. In the aspect of fluctuation asymmetry, there is unexpected negative information that the American ETF market can affect the long and short position market which is more than unexpected positive information, and the market is fluctuant and unsymmetrical. However, during short position period, the result of Taiwanese ETF market is not significant.

Topic Category 商學院 > 財務金融學系碩士在職專班
社會科學 > 財金及會計學
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Times Cited
  1. 陳昱安(2015)。巨量資料探討及分析-以台灣50 ETF 為例。淡江大學管理科學學系碩士班學位論文。2015。1-77。 
  2. 呂宜君(2015)。資料探勘於台灣指數股票型基金(ETF)發展之研究。淡江大學管理科學學系企業經營碩士在職專班學位論文。2015。1-118。 
  3. 吳敏菁(2013)。中國A股ETF追蹤誤差績效之實證研究。淡江大學財務金融學系碩士在職專班學位論文。2013。1-45。 
  4. 洪榮吉(2012)。黃金商品對投資績效的影響-信心指數及多空市場分析。政治大學經營管理碩士學程(EMBA)學位論文。2012。1-68。
  5. 黃靜怡(2014)。外溢效果和槓桿效果分析-以稀土礦產型ETF為實證。中原大學企業管理研究所學位論文。2014。1-72。
  6. 李佳如(2016)。台灣集中市場交易的A股ETF追蹤誤差研究。淡江大學財務金融學系碩士在職專班學位論文。2016。1-69。
  7. 江宗軒(2017)。ETF價格波動預測能力之探討。淡江大學財務金融學系碩士班學位論文。2017。1-62。