| Summary: | 碩士 === 銘傳大學 === 財務金融學系碩士在職專班 === 103 === ETF is composed of both the features of stocks and open-ended index funds, and traded in both primary and secondary markets. Yuanta/P-shares Taiwan Top 50 ETF(stock code 0050, ETF50) which targets FTSE TWSE Taiwan 50 Index is the first ETF that TWSE launched on June 30, 2003. Even ETF50 has longer trading history and higher trading volume than other types ETFs which are initiated after 2003, the tracking errors between ETF and its target index still exists. So this paper follows the methodology that Lin and Hsieh (2009) claimed to find phenomenon and characteristics of tracking errors and its components.
The empirical results show that ETF50 has positive tracking errors during July and August of each year, but negative tracking error on date of dividend distribution during the sample period that from 2009 to 2014. Especially, these positive tracking errors which not found in Lin and Hsieh (2009) are caused to high cash dividend payments from constituted stocks of Index. By the same reason, the tracking errors almost come from cash dividends payments and their reinvestment.
Finally, even FB Taiwan 50 ETF (ETF6208) and ETF50 target the same Index, but ETF6208 has higher cumulative tracking error than ETF50 on average because the former has shorter history and less net asset value.
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