| 题名 |
臺灣交易所交易基金之套利績效分析 |
| 并列篇名 |
The Arbitrage Performance Analysis toward Taiwan Exchange Traded Fund |
| DOI |
10.6697/TBPJ.201406_7(2).0003 |
| 作者 |
王信文(Hsing-Wen Wang)；程立民(Li-Min Cheng)；林清同(Ching-Torng Lin) |
| 关键词 |
交易所交易基金 ； 淨資產價值 ； 成交量 ； 套利 ； 交易策略 ； Exchange Traded Fund ； Net Assets Value ； Trading Volume ； Arbitrage ； Trading Tactics |
| 期刊名称 |
臺灣企業績效學刊 |
| 卷期/出版年月 |
7卷2期（2014 / 06 / 01） |
| 页次 |
125 - 141 |
| 内容语文 |
繁體中文 |
| 中文摘要 |
自交易所交易基金（ETF）推出18年以來，全球資產總額成長近300倍，其中，臺灣市場之ETF推出已近2年，若依國際市場發展趨勢，將可能成為投資人主要投資工具之一，有探討其表現與特性之必要性。本研究共分析三個主要議題：（1）探討臺灣ETF的淨資產價值和臺灣50指數的表現差異；（2）探討臺灣ETF在臺灣證券交易所的交易價格和TTT的淨資產價值關係；（3）探討臺灣ETF的報酬表現，並觀察其它股票型基金的表現。研究發現：（1）臺灣ETF報酬率低於臺灣50報酬指數報酬率；（2）臺灣ETF的淨資產價值與市價差距極小，且前期差距對下期差距具解釋能力；（3）臺灣ETF的淨資產價值與市價差距對於成交量解釋並不顯著，套利可能性相當低；（4）臺灣ETF交易量之擴大仍面臨市場結構性瓶頸。研究成果對於臺灣ETF之發行管理與交易策略具有參考價值。 |
| 英文摘要 |
The exchange traded fund (ETF) has been issued for 18 years. Total value of global assets has grown up nearly 300 times, among them, ETF of the Taiwan financial market has been issued for nearly two years. If it depended on the international market trend, may become investor's one of the main investment tools. In case of that, it is worthy to investigate into the performance and characteristic of Taiwan ETF. We analyze three issues in this research: (1).the price behavior difference between the net assets value of Taiwan ETF and Taiwan 50 indexes; (2).Correlation between Taiwan ETF market price and the TTT net assets value; (3).The performance comparison between Taiwan ETF and stock funds. Evidence from Taiwan market demonstrate that: (1).rate of return of Taiwan ETF is lower than the rate of returns of Taiwan 50 indexes; (2).Net assets value of Taiwan ETF and market price difference are extremely small, and the pre-period difference shows the ability of statistically explaining to next difference; (3).It is not apparent that the net assets value of Taiwan ETF and market price difference statistically explains the trading volume, and further, the arbitrage possibility is quite low; (4).The growth of trading volume of Taiwan ETF faces the market structural bottleneck. The result of this research is benefits the issue management of next Taiwan ETF and is worth consulting the trading tactics. |
| 主题分类 |
社會科學 >
社會科學綜合 |
| 参考文献 |
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