A Study on the Tracking Errors of Exchange Traded Funds: Evidence from Taiwan Market

碩士 === 國立中正大學 === 財務金融系研究所 === 106 === This paper estimates tracking errors in exchange traded funds (ETFs) listed on the stock exchange in Taiwan, utilizing three different methods and test their relative performance using Jensen’s model. Empirical results showed the magnitudes of absolute value of...

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Main Authors:	LIN, HSIANG-WEI, 林翔緯
Other Authors:	CHUANG, I-YUAN
Format:	Others
Language:	zh-TW
Published:	2018
Online Access:	http://ndltd.ncl.edu.tw/handle/u85245

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spelling	ndltd-TW-106CCU003040062019-05-16T00:22:32Z http://ndltd.ncl.edu.tw/handle/u85245 A Study on the Tracking Errors of Exchange Traded Funds: Evidence from Taiwan Market 台灣ETF追蹤誤差之研究 LIN, HSIANG-WEI 林翔緯碩士國立中正大學財務金融系研究所 106 This paper estimates tracking errors in exchange traded funds (ETFs) listed on the stock exchange in Taiwan, utilizing three different methods and test their relative performance using Jensen’s model. Empirical results showed the magnitudes of absolute value of difference between ETF returns and index returns averages between 37.64 and 91.81 basis points per month which are significantly different from zero at the 1% level. Further regression analysis provides evidence that the magnitude of tracking errors is related to total expense ratio, the change of size, index volatility, dividend yield, the change of interest rate. CHUANG, I-YUAN 莊益源 2018 學位論文 ; thesis 40 zh-TW
collection	NDLTD
language	zh-TW
format	Others
sources	NDLTD
description	碩士 === 國立中正大學 === 財務金融系研究所 === 106 === This paper estimates tracking errors in exchange traded funds (ETFs) listed on the stock exchange in Taiwan, utilizing three different methods and test their relative performance using Jensen’s model. Empirical results showed the magnitudes of absolute value of difference between ETF returns and index returns averages between 37.64 and 91.81 basis points per month which are significantly different from zero at the 1% level. Further regression analysis provides evidence that the magnitude of tracking errors is related to total expense ratio, the change of size, index volatility, dividend yield, the change of interest rate.
author2	CHUANG, I-YUAN
author_facet	CHUANG, I-YUAN LIN, HSIANG-WEI 林翔緯
author	LIN, HSIANG-WEI 林翔緯
spellingShingle	LIN, HSIANG-WEI 林翔緯 A Study on the Tracking Errors of Exchange Traded Funds: Evidence from Taiwan Market
author_sort	LIN, HSIANG-WEI
title	A Study on the Tracking Errors of Exchange Traded Funds: Evidence from Taiwan Market
title_short	A Study on the Tracking Errors of Exchange Traded Funds: Evidence from Taiwan Market
title_full	A Study on the Tracking Errors of Exchange Traded Funds: Evidence from Taiwan Market
title_fullStr	A Study on the Tracking Errors of Exchange Traded Funds: Evidence from Taiwan Market
title_full_unstemmed	A Study on the Tracking Errors of Exchange Traded Funds: Evidence from Taiwan Market
title_sort	study on the tracking errors of exchange traded funds: evidence from taiwan market
publishDate	2018
url	http://ndltd.ncl.edu.tw/handle/u85245
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A Study on the Tracking Errors of Exchange Traded Funds: Evidence from Taiwan Market

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