The Relationship Analysis Between Business Leading Indicators And Exchange Traded Funds - Evidence From Taiwan 50 ETF

• Main Authors: Chung Sheng Fan, 范鐘升
• Other Authors: Yu Pin Lin
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/96116689955643504695

碩士 === 真理大學 === 財經研究所 === 100 === This study try to examine whether the relationship between Polaris Taiwan Top 50 Tracker Fund (Taiwan 50 ETF，first Exchange Traded Funds in Taiwan) NAV （ Net Asset Value）and Leading Indicators. Composite Index of Taiwan’s Leading Indicators is constructed by seven indicators for predicting the business cycle. Seven indicators include Index of Export Orders, Monetary Aggregates, Stock Price Index, Index of Producer's Inventory for Manufacturing, Average Monthly Overtime in Industry and Services, Approved Licenses for Constructing, SEMI Book-to-Bill Ratio. This paper use Granger Causality Test to select indicators and apply multivariate Linear Transfer Function (LTF) to analyze whether them can forecast Polaris Taiwan Top 50 Tracker Fund NAV. The results show that Monetary Aggregates and the preceding information about Polaris Taiwan Top 50 Tracker Fund NAV in a short-run are feasible for a reference.