| Summary: | 碩士 === 元智大學 === 商學碩士班(財務金融學程) === 96 === This paper examines the impacts of Exchange Traded Fund (ETF) openings on conventional index funds by looking at a sample of 263 index funds that track 33 different ETFs over the period 1992 to 2006. The empirical results show that during the event window period (defined as three months prior to an ETF opening and one year after the opening), the cumulative abnormal net inflow growth rates of (1) matched conventional index funds, (2) matched index funds open to retailing investors, and (3) matched index funds open to institutional investors are all significantly negative, a result consistent with the hypothesis of "substitution effect". In addition, it is also found that the cumulative abnormal overhang growth rate is positive, suggesting that on average the capital gains of mutual funds are not distributed to investors over the event window period. Finally, it is found that the cumulative abnormal expense growth rate exhibits a significantly negative trend, also consistent with the hypothesis of "substitution effect".
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