| Summary: | 碩士 === 淡江大學 === 管理科學研究所碩士班 === 93 === This research investigates liquidity effects of the first Exchange Traded Fund (ETFs) in Taiwan - Polaris Taiwan Top 50 Tracker Fund (TTT) and its underlying stocks. Actually, the quoted spread is used to define as the difference between ask and bid; however, due to the special regulation in TSE, the spread between bid and ask is fixed within given stock price range, but different stock price range will be regulated by different spreads. Therefore, we adopt another spread measurement defined by the price distance between the highest and the lowest trading price as the liquidity variable in this study.
This research is divided into three aspects. One is to discuss the liquidity of stock index futures and the component stocks of ETFs will become better after introducing ETFs in TSE. Another is to find what variables will affect the liquidity of the ETFs and its component stocks. The other is use Granger causality analysis to find the price and volume interrelationship among ETFs, its component stocks, and stock index futures, and our important finding are as follows:
1. After introducing ETFs in Taiwan stock market (TSM), the market liquidity of 50 component stocks of ETFs and the trading volume of stock index futures are improved. The possible reasons is that ETF could be regarded as spot instrument. Thus, arbitrage opportunities will be increased by trading spots and futures simultaneously.
2. In this study, we found that risks and stock prices are positive with spread, similar to the findings in previous study. However, we find the stock price of the ETFs is negative with spread in the time series models. The possible reason is that the rising speed of Taiwan stock market might not be quick, but the falling speed of TSM might be extremely fast, therefore the closing price and the spread are negative.
3. In Granger causality analysis, we find stock index futures might affect ETFs in the behavior of stock returns, and the stock index futures might affect the component stocks of ETFs in the behavior of trading volume.
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