本研究選擇美國NASDAQ 100指數、德國DAX指數、香港紅籌股指數以及上海A股指數,以及在該國交易所掛牌之四檔稀土礦產型ETF以及四檔一般礦產型ETF掛牌日起至2014.2.28做為研究樣本。將風險關連性納入探討,以最適合之GARCH-M-ARMA與EGARCH-M-ARMA模型,對於掛牌之ETF與對應之股價指數進行報酬外溢效果和報酬波動性外溢效果,並針對槓桿效果進行研究。本文研究結果歸納如下: 在進行外溢效果分析,發現在研究期間,稀土(一般)礦產型ETF全部樣本,對股價指數皆為負的平均報酬,全部礦產型ETF樣本的績效比股價指數還差;而稀土礦產型ETF整體平均績效又比一般礦產型ETF略差。其中,僅有美國NASD指數和德國DAX指數在樣本研究期間,仍然維持正的平均報酬率。 在報酬率外溢效果部份,發現共有三組ETF和股價指數之間,具有雙向的報酬率外溢效果;單向的報酬率外溢效果則為兩組ETF對股價指數。在報酬波動性外溢效果部份,僅有兩組ETF和股價指數之間具有雙邊且積極正向的報酬波動性外溢效果,大部份結果為前期稀土(一般)礦產型ETF報酬波動性對當期股價指數具有單向之報酬波動性外溢效果。 由EGARCH-M-ARMA模型觀察稀土(一般)礦產ETF與股價指數,是否存有波動不對稱的情形,在ETF部分,稀土(一般)礦產型ETF樣本大多數存有負向槓桿效果。而在股價指數部分,全部股價指數樣本皆存有槓桿效果。 每日股價指數價格產生風險/報酬對於ETF風險/報酬關連性,研究結果顯示,該樣本共五組之每日股價指數價格產生的風險/報酬對於礦產型ETF關連性,具有正向同步上升(下降)影響。
This research used the Generalized Autoregressive Conditional Heteroskedasticity-in-Mean-Autoregressive Moving Average (GARCH-M-ARMA) and the Exponentially Generalized Autoregressive Conditional Heteroskedasticity–in-Mean-Autoregressive Moving Average (EGARCHM- ARMA) models to study the spillover, asymmetric-volatility and leverage effects of the Rare Earth Element (Ree)-Based and the Non-Ree Exchange Traded Funds (ETFs). Four Ree and four Non-Ree ETFs with their underlying indices for the Nasdaq Composite Index, the Xetra Dax Index, the Hang Seng China-Affiliated Corp Index and the SSE A Share Index were selected for this study. The estimated results of spillover effect revealed that Ree and Non-Ree ETFs were difficult to have better return performances than underlying stock indexes during research period. The Non-Ree ETFs were better than the Ree ETFs. However, only the Nasdaq Composite Index and the Xetra Dax Index had positive return performance. Further, the results of spillover effect found that the Ree ETFs and the Non-Ree ETFs had significant positive or negative relationship against benchmark index returns and volatilities, respectively. Among, three of the ETFs were found to have a bilateral relationship between the stock index and ETFs returns; however, only two of the ETFs were found to exhibit a bilateral relationship between the stock indices and ETFs volatilities. Majority results of the lagged volatility for Ree and Non-Ree ETFs were unilaterally influence stock indices. The findings of EGARCH-M-ARMA model showed that the Ree and the Non-Ree ETFs with their underlying indices had negative asymmetric volatility effect. The result also revealed leverage effect between stock indices and ETFs. Furthermore, another significant results demonstrated that the returns (risks) gained in daily ETF or stock index could cause the rise (fall) of the other. There was majority of the evidence showing a unilateral and positive relationship between risks and returns in daily Ree and Non-Ree ETFs and stock indices.