Relationship between Taiwan 50 ETF and Stock Index

• Main Authors: Cheng-Hua Chang, 張正華
• Other Authors: 黃琮琪
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/79812778114104824762

碩士 === 國立中興大學 === 應用經濟學系所 === 99 === It is helpful for those who invest Taiwan 50ETF in the stock market to find the Stops the Favorable Spot or decrease the losses if they can predict the development of the stock market and understand the interactions between Taiwan 50ETF and the Stock Index. The main purpose of the present study is to apply Augmented Dickey-Fuller Test and Vector Autoregression Model (VAR) to investigate the relationships between Taiwan 50ETF and the Stock Index. The processes of data collection were divided into two periods: (1) the first was 182 in total from January, 2nd to September 29th, 2007; (2) the second was 185 in total from January, 5th to September 30th, 2009. To complement the flaw of the short-term data collection, the present study analyzed the data of daily closing price as well as short-term five daily average lines often used in the stock market. Results are shown as follows: First, by forecasting Error Variance Decomposition, the exogenous of Taiwan 50ETF was as strong as that of Taiwan 50ETF five daily average value, Taiwan 50ETF exceeded Taiwan Stock Index, and Taiwan 50ETF five daily average value was also higher than the five daily average value of Taiwan Stock Index. Second, by Impulse Response Analysis, when the figures of Taiwan 50ETF and the Stock Index changed up to one standard error, Taiwan 50ETF in the first period was influenced the most. After that, the impact gradually decreased. It was found that the data of Taiwan 50ETF was deeply impacted by itself and the Stock Index. That is, if investors want to get profits from it, they have to make decisions quickly; otherwise, their investment might be locked up. Finally, from the results of Impulse Response Analysis, as five daily average values of Taiwan 50ETF and the Stock Index changed up to one standard error, five daily average values of Taiwan 50ETF in the fifth period reacted the most violently. Thus, when five daily average values of Taiwan 50ETF and the Stock Index alter, the investors should pay attention to correct short-term investment to avoid losses. It is worthwhile to know that after the economic decline, five daily average value of Taiwan 50ETF in the second and fourth periods made changes a lot before it. It implies that the structure of the five daily average values of Taiwan 50ETF and the Stock Index varied in the wake of the economic depression.