外溢效果和槓桿效果分析-以稀土礦產型ETF為實證

黃靜怡

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外溢效果和槓桿效果分析-以稀土礦產型ETF為實證

The Spillover and Leverage Effects of Rare Earth Element-Based Exchange-Traded Funds

黃靜怡 , Masters　　Advisor：陳若暉　　

繁體中文

稀土金屬、外溢效果、波動性外溢效果、槓桿效果、風險關連性、ETF、指數股票型基金； Rare Earth ； Leverage Effect ； Exchange Traded Funds ； GARCH-M-ARMA ； EGARCH-M-ARMA ； Risk ； Spillover Effects

Abstract │ Reference (71) │ Altmetrics

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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.

Reference ( 71 ) 〈TOP〉

1. 王冠閔與吳書慧，(2006)，「台灣股、匯市與美國股市傳導機制之實證分析」，運籌研究集刊，第十期，頁10~15。
連結：
2. 王尊賢，(2005)，「國際銅價決定機制與影響因素之實證分析」，中原大學國際貿易學系碩士學位未出版論文。
連結：
4. 王毓敏、邱炳乾、林家妃、郭于綉，(2011)「股票市場的報酬與波動性外溢效果之探討－以亞洲地區為例」，國立屏東商業技術學院學報，第十三期，頁35-68。
連結：
7. 呂安惇，（2009），「全球指數股票型基金之季節性外溢效果與槓桿效果分析」，中原大學企業管理研究所未出版碩士論文。
連結：
9. 沈子鈞，(2009)，「黃金現貨與黃金ETF相關性之研究」，淡江大學財務金融學系碩士在職專班未出版碩士論文。
連結：

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