跨境交易ETF之追蹤誤差研究:以兩岸三地為例

• Main Authors: Ren-hua Yeh, 葉人華
• Other Authors: Yu-chuang Huang
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/j4e36h

碩士 === 國立高雄第一科技大學 === 財務管理研究所 === 104 === This article discusses the three places cross-listed ETF listed as the research subject, investigate tracking error at January 1, 2013 to August 31 2015 Tracking the SSE 50 Index and the CSI 300 Index ETF''s tracking error and impact factor. The results found that tracking error is less than the subject of the Chinese mainland and Hong Kong and Taiwan, suggesting that the main reason may be the benchmark index for the two tracks are all local (Chinese mainland) the subject of the main index, again probably because less exchange rate volatility Representational and ETF tracking error replication and synthetic replication strategy generated. In this paper, seven additional variables influence on the tracking error to do regression analysis found that the risk of market volatility, volume, and ETF assets replication strategy all these variables will significantly affect the size of the ETF''s tracking error.