Research on the Tracking Performance of Index-type Securities Investment Funds -Taking the Stock Market of Taiwan, China and Hong Kong as Examples

• Main Authors: Lo, Shu-Ju, 羅淑如
• Other Authors: Lee, Yun-Huan
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/7yrpn6

碩士 === 銘傳大學 === 財務金融學系碩士在職專班 === 106 === Since the introduction of the Exchange Traded Fund (ETF) by stock exchanges 28 years ago, the total global assets have grown nearly 300 times. As the ETF has been in existence in the Taiwan market for 14 years and will likely become one of the major investment vehicles for investors in the light of the international market trend, there is a need to explore its performance. This study analyzes the following two topics in the sample period from January 27, 2016 to June 30, 2017: (1) tracking the performance of the underlying indices of the ETFs of Taiwan, China and Hong Kong stock markets, leveraged ETFs and inverse ETFs listed on the Taiwan Stock Exchange; (2) using the multiple regression model and the quantile regression model to analyze the impact of index volatility, margin purchase, trading volume and exchange rate on the net return rate. The empirical results show that: (1) The net return rate of Yuanta Taiwan Top 50 ETF and Fuh Hwa Daily Hang Seng Inversed ETF did not deviate from the target multiplied returns of the underlying indices, and Yuanta Daily Taiwan 50 Bull 2X ETF, Yuanta Daily Taiwan 50 Bear -1X ETF, Fubon SSE180 ETF, Fubon SSE180 Leveraged 2X Index ETF, Fubon SSE180 Inversed Index ETF, Fuh Hwa Hang Seng ETF and Fuh Hwa Daily Hang Seng Leveraged 2X ETF deviated from the target multiplied returns of the underlying indices. (2) There is a significant difference between the empirical results of the quantile regression model and the multiple regression model. In a high quantile, the index volatility and trading volume have a significant positive correlation with the net return rate; in a low quantile, the index volatility has a significant negative correlation with the net return rate; the margin purchase and exchange rate in different quantile have a significant impact on the net return rate, but the directions are inconsistent.