The dynamic relationships among domestic TAIEX Exchange Traded Funds

• Main Authors: Chen-Yuan Liu, 劉眞源
• Other Authors: Yu-Shan Wang
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/64259112187811772864

碩士 === 國立高雄第一科技大學 === 金融研究所 === 102 === This study selected Yuanta/P-shares Taiwan Top 50 ETF, Yuanta/P-shares Taiwan Mid-Cap 100 ETF, Fubon Taiwan Technology Tracker fund, Yuanta/P-shares Taiwan Electronics Tech ETF, Yuanta/P-shares S&;P Custom China Play 50 ETF, Yuanta/P-shares MSCI Taiwan Financials ETF, Yuanta/P-shares Taiwan Dividend Plus ETF, Fubon MSCI Taiwan ETF, Fubon Taiwan Eight Industries ETF, Fubon Taiwan Finance ETF, Yuanta/P-shares TWSE Taiwan Non-Tech 50 ETF and the Taiwan stock index closing price of the month. From August, 2008 to April, 2013. Through unit root testing, Granger causality testing, vector auto-regression model, variance decomposition analysis and impulse response analysis. It was found the vector auto-regression model, were subject to Taiwan stock index significantly positive effect. The Yuanta/P-shares Taiwan Top 50 ETF, Yuanta/P-shares Taiwan Mid-Cap 100 ETF, Yuanta/P-shares S&;P Custom China Play 50, Yuanta/P-shares Taiwan Dividend Plus ETF, Fubon Taiwan Eight Industries ETF, Yuanta/P-shares TWSE Taiwan Non-Tech 50 ETF, Taiwan stock index. On Granger causality test, Yuanta/P-shares S&;P Custom China Play 50 will affect Yuanta/P-shares Taiwan Top 50 ETF, Yuanta/P-shares Taiwan Mid-Cap 100 ETF, Fubon MSCI Taiwan ETF. It shows the Yuanta/P-shares S&;P Custom China Play 50 impact of the constituent stocks on the Taiwan stock level is significant. This paper provides a guideline for stock picking and investment strategies.