Do ETFs Increase Volatility? Evidences from Taiwan Stock Market

• Main Authors: TUNG HUI-LING, 童蕙鈴
• Other Authors: LU, CHIA-WU
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/k9f3hp

碩士 === 國立臺北大學 === 國際財務金融碩士在職專班 === 107 === Exchange-traded funds (ETFs) have become increasingly popular over the past years. To study whether an increase in trading volume of ETFs impact the volatility of their underlying stocks and the Taiwan security market, the research focus on a sample of ETFs that hold Taiwan stocks and that is listed on Taiwan exchanges over the period June 2003 to the end of 2018. The research concludes: 1. The trading volumes of ETFs account for the higher proportion of all Taiwan stock trading volumes in lead to higher volatility of the major index market. In addition, both fluctuations in exchange rate and the turnover rate of the capital market impact the volatility of the major index market dramatically. 2. ETF’s underlying assets comprise the large-cap bellwethers that dominate the major market indices, leading to a fund management style know as passive management. As a result, after being the component stock of the ETF, the higher LN (market value) underlying assets have a decrease in volatility. Due to the low turnover rate of ETF, after being the component stocks of the ETF, the ETF’s underlying assets in the electronics sector have a decrease in volatility and also compare to the other electronics sector stocks, the volatility of the ETF’s underlying asset is more stable. On the other hand, the ETF’s underlying assets in non-tech sector have an increase in volatility and impact the volatility of non-tech sector’s stocks dramatically.