Study on Price Discovery and Co-integration Phenomenon in ETFs: A Case Study on QQQ and ISHARE FXI
碩士 === 東吳大學 === 企業管理學系 === 98 === ETF is referred to as a financial product for tracking the performance of an index， which stock price in theory should maintain an equilibrium relationship with the ETF being tracked without holding a leading and lagging relationship， at the absence of transaction c...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/54053815649417936280 |
| Summary: | 碩士 === 東吳大學 === 企業管理學系 === 98 === ETF is referred to as a financial product for tracking the performance of an index， which stock price in theory should maintain an equilibrium relationship with the ETF being tracked without holding a leading and lagging relationship， at the absence of transaction costs and arbitrary activities。 Nevertheless under the actual situations， the influence from trading systems and rules on top of market structure， has led to the existence of a “Leading-Lagging” relationship between the tow。 The research data consists of the moving average rate of return for ETF QQQ and iShare FYI from March 1， 2007 and to February 28， 2009。
The purpose of this study results is described in the follows:
1.Use Maximum-likelihood estimation proposed by Johnsen (1987)， to test for co-integration and to determine whether if a long-run equilibrium relationship of co-integration exists between stock index and ETF。
2.Apply vector error correction model (VECM) to determine whether if there are effects of price discovery in the “leading-lagging” relationship between the stock index and the ETF being tracked。 Use errors to correct the convergence phenomenon to long-run equilibrium。
3.Apply the impulse response and analysis defined by Sims (1980) and variance decomposition to test the short-term dynamic adjustment process between stock index and ETF。
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