台灣50指數股票型基金之追蹤誤差與定價效率

Tracking Error and Pricing Efficiency of the Taiwan 50 ETFs

10.6545/JFS.2009.17(2).1

林允永(Yun-Yung Lin)；謝文良(Wen-Liang Hsieh)

指數股票型基金 ； 追蹤誤差 ； 定價效率 ； 套利 ； ETFs ； Tracking error ； Pricing efficiency ； Arbitrage ； Taiwan

財務金融學刊

17卷2期（2009 / 06 / 30）

1 - 34

繁體中文

指數股票型基金之目的在於複製目標指數的報酬率，本文分析影響台灣50指數股票型基金（TTT）投資績效的兩項主要誤差：追蹤誤差（Tracking error）與定價誤差（Pricing error）。首先拆解並衡量導致TTT的追蹤誤差的成分，發現TTT的淨值報酬率受累積現金股利之影響而偏離指數報酬率最多，管理費用和股利再投資的影響則相對較小。研究更發現在指數成分股發放現金股利的時點，基金管理公司投製台灣50指數投資組合的精確度會降低。在TTT的定價效率方面，本研究以日內高頻率資料觀察TTT市價偏離淨值及超出無套利區間的次數、惦度與延續時間，並考慮交易延邊下的事前（ex-ante）套利利潤。結果顯示TTT的定價效率大致良好，雖然偶爾發生較大幅的定價誤差，且大幅度定價誤差傾向持續較長時間與提供較大獲利，但平均事前套利利潤卻不為正值。迴歸分析進一步顯示TIT的定價誤差幅度和套利機會受到市場波動性、TIT交易量、和市場成熟度的顯著影響。證據支持市場存在頻繁且及時的套利活動，因而維繫TIT良好的定價效率。

This article investigates the tracking performance and pricing efficiency of the Taiwan 50 tracking funds (TTT) - the first exchange-traded-fund in Taiwan. We decompose the discrepancy between the NAY return and return of the target index into four components. Results show that a large portion of tracking error can be attributable to the cumulative cash dividends. Other components of tracking error, including management fee, dividend reinvestment, and index replication error, contribute less to the TTT tracking error. It should be noted that the index replication error tends to enlarge as cash dividends are disseminated, indicating that a more sophisticated portfolio rebalancing is needed at time of TTT dividend payout. Pricing efficiency of TTT is measured by the intraday deviation of market prices from the NAVs, taking the transaction costs and potential execution delay into account. Both ex-post and ex-ante analysis support the general pricing efficiency of the TIT markets. Large price deviations, although rarely occurring, tend to persist for a longer time and provide higher arbitrage profits. Regression analysis further shows that the mispricing and arbitrage opportunities are positively related to market volatility and TTT volume; and negatively related to the degree of market maturity. Results suggest that the pricing efficiency of TTT is maintained by frequent and prompt arbitrage activities.

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