| Summary: | 碩士 === 靜宜大學 === 會計學系 === 104 === This paper adopt Bangia et al.(1999) and Al Janabi(2009, 2011, 2013) empirical concepts to investigate the liquidity-adjusted VaR (LVaR) on five ETF Futures listed on Taiwan Futures Exchange(Taifex).We study traditional VaR based on the daily fluctuate of close price. Then, to adjust the ill-liquidity effects, we involve bid-ask spreads to estimate exogenous liquidity adjusted risk, and apply security horizontal period to estimate endogenous liquidity risk. The period of the sample is from October 6, 2014 to June 24, 2015. The findings of this study show that: (1)The tradition ETFs VaR range are between 1.0280 to 3.6864, the maximum value of all is OAF, and the minimum value of all is OCF. Five ETFs in backtesting are pass and actual failure rates are between 0 to 4. (2)The exogenous liquidity ETFs VaR range are between 0.537 to 7.554, the maximum value of all is NYF and the minimum value of all is NZF. (3)The endogenous liquidity ETFs VaR range are between 1.014 to 3.641, the maximum value of all is OAF and minimum of all is OCF. (4)Comprehensive calculation LVaR, the maximum value of all is NYF . Five ETFs in backtesting are pass. This paper involves liquidity-adjusted VaR that could search ETFs futures thoroughly.
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