中國A股ETF追蹤誤差績效之實證研究

Study on the Performance of Tracking Errors-Evidence from the China A-Share ETF

李沃牆(Wo-Chiang Lee)；林惠娜(Hui-Na Lin)；吳敏菁(Min-Ching Wu)

人民幣A股 ； 追蹤誤差 ； 縱橫迴歸模型 ； ETF ； RMB A-shares ； Tracking error ； Panel regression model

致理學報

34期（2014 / 07 / 01）

49 - 78

繁體中文

本研究檢驗香港交易所掛牌之A股標的ETF1的追蹤誤差績效，包括開放了RQFII後所發行實物買賣ETF與原存在的合成型投資ETF。實證研究除了採用追蹤誤差檢定驗證各ETF與目標指數標的追蹤效果；並進一步運用縱橫迴歸模型評估影響追蹤誤差的成因。實證結果發現，跟隨A股市場的港交所ETF，追蹤複製能力皆非常良好，特別是在短期的跟隨效果；而進一步分析長短天期的追蹤誤差發現成交量為影響追蹤誤差最主要的因素。

This study investigate the tracking error of the two A shares which are listed on the Hong Kong Stock Exchange since the underlying ETF, namely, based on RQFII traded funds issued upon the physical presence and the original synthetic ETF. In empirical study, in addition to using tracking error test verify the ETF and the underlying index to track the target effect; and this study further to apply panel regression model to evaluate the factors of affecting tracking error. The empirical results show that, following the A-share market, HKEx ETF, tracking replication capabilities are significant, especially in the short-term follow effect; while further analysis of the tracking error of the trading frequency document that volume is the most significant factor in affecting the tracking error .