A Study of Substitutability or Complementaritybetween Exchange Traded Funds and Open-EndMutual Funds

• Main Authors: Wu Pei Ying, 吳佩盈
• Other Authors: Lu Chao Hsien
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/81246048874448368357

碩士 === 南台科技大學 === 企業管理系 === 98 === “Exchanged Traded Funds (ETFs)” are referred to as “Exchange-traded Securities Investment Trust Funds” which track the underlying index changes, and are traded on the Stock Exchange. ETFs combine the feathers of funds and stocks, and have the innovation mechanisms of “Index Securitization” and “In-kind Creations and In-kind Redemptions”. This study examines the substitution effect between the two similar investment vehicles: exchange-traded funds (ETFs) and open-end mutual funds (OEFs). The changes of ETFs are close to the market or industry trends, leading to the defensive for individual stocks. In addition, during bull market or bear market periods, ETFs can use the diversification of investment objectives with trading advantages, which can be long, can be short, and can be leveraged. Therefore, this study investigates whether the substitution/complement relations between ETFs and OEFs are changed during bull market and bear market. Furthermore, the Polaris Taiwan Top 50 Tracker Fund (TTT) is an ETF with top rank in terms of market capitalization in Taiwan. The substitution/complement effects for TTT and other 10 ETFs in Taiwan with OEFs were also investigated, respectively. The study finds that ETFs and OEFs are substitution relations which are more notable during bear market. The result indicates that investors prefer to choose ETFs with low risk during the depression. Furthermore, the results show that TTT and OEFs are substitution relation. However, the other 10 ETFs and OEFs are complement relation.