本研究以美國、加拿大、法國、德國的指數股票型基金(ETF)以及在該國的股市指數做為研究對象,研究期間於1999年4月起,並且皆止於2009年3月的月資料進行探討。將ETF估計出最適GARCH-SARIMA與EGARCH-SARIMA模型後,針對單一國家股市指數與ETF進行報酬率及波動性的季節性外溢效果與槓桿效果之研究。 本研究實證結果歸納如下: 一、進行季節性外溢效果的ETF中,能源、原物料類ETF能擊敗股市指數獲取相對性的報酬率,而科技、電信類ETF較困難。 二、由EGARCH模型中發現股市指數與ETF存在波動不對稱的情形。ETF共有六檔存在季節性槓桿效果,其中能源、原物料ETF比起科技、電信ETF較可能存在季節性波動不對稱的現象。 三、經過HP濾波的分解後,將從事季節性外溢效果的股市指數與ETF之循環項進行比較,其結果顯示ETF的循環項波動皆比該國的股市指數大,而兩者也都呈現正向的循環關係。 四、 於外溢效果方面,美國、加拿大、法國股市指數對ETF具季節性的報酬率外溢效果;另這三國ETF對於發行市場的股市指數亦存在報酬率外溢效果。此外,雙向的報酬率外溢效果亦存在。而美國、加拿大、法國股市指數對ETF存在季節波動性外溢效果;另美國、法國的ETF會對股市指數造成季節波動性外溢效果之影響。此外,法國存在雙向波動外溢效果。研究發現,在季節波動性外溢效果上,能源、原物料ETF比起科技、電信ETF較容易影響股市指數或被股市指數影響。
This article examined the relationship between Exchange Traded Funds(ETF) and stock indexes in US, Canada, France and Germany. This study used monthly data basically started from 1999 April and ended in 2009 March. After estimating the fitted GARCH-SARIMA and EGARCH-SARIMA models of stock indexes and ETFs, the seasonal spillover and the seasonal leverage effects on returns and volatilities of stock index and ETFs were further investigated. The empirical results were as following: (1)The estimated results revealed that energy and material ETFs had better performances than stock indexes in seasonal spillover effects. However, technology and telecom services ETFs were difficult to have better return performances than stock indexes. (2)The finding of EGARCH models showed that stock index and ETF existed asymmetric volatility effect. The results revealed seasonal leverage effect in six ETFs. Furthermore, energy and material ETFs have a stronger probability to exist seasonal asymmetric volatility effect than technology and telecom services ETFs. (3)After decomposing data by HP filter, this study compared the cycle component of stock indexes with ETFs based on the seasonal spillover effects. The results showed that all the cycle component of ETFs had stronger fluctuations than underlying stock indexes. Moreover, all the cycle component of ETFs and underlying stock indexes had positive relationships. (4)The results of seasonal spillover effects for return presented that stock indexes made greatly impact on ETFs in US,Canada and France. Some ETFs affected each underlying stock index in these countries. There existed the return spillover effect of bilateral relations between the stock index and ETF return. The result from seasonal spillover effects of volatility showed that stock indexes made greatly impact on ETFs in US, Canada and France.While some ETFs also influence each underlying stock indexes in US and France. Besides, the bilateral relationships for the stock index and ETF return have been found only in France.Generally, the study finds out that the volatility spillover effect of energy and material ETFs are easier to cause desirable impact on stock indexes or highly influenced by them than technology and telecom services ETFs.