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題名 | ETF的價格發現與市場整合--以美國證交所QQQ及EWT為例=Price Discovery and Market Integration of ETF--An Empirical Study on QQQ & iShare EWT Listed in AMEX |
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作者姓名(中文) | 徐清俊; 吳柏炘; |
作者姓名(外文) | Hsu, Ching Jun; Wu, Po Hsin; |
書刊名 | 修平學報 |
卷期 | 8 2004.03[民93.03] |
頁次 | 頁21-44 |
分類號 | 563.54 |
語文 | chi |
關鍵詞 | 指數股票型基金; 價格發現; 市場整合; 共整合; 誤差修正模型; Exchange traded fund; ETF; Price discovery; Market integration; Cointegration; Error correction model; ECM; |
中文摘要 | 本文以美國證券交易所(AMEX)掛牌的QQQ與iShare EWT兩檔ETF的日資料,探討ETF與股價指數間的價格發現與市場整合過程。根據共整合模型顯示,ETF與股價指數存在一共同長期趨勢,兩市場形成共整合系統,相互參考其彼此的價格而調整當期的價格變化;其次,誤差修正模型的研究結果,則發現ETF與股價指數之價格所做的調整,主要透過股價指數的調整。就短期而言,經由衝擊反應分析與誤差變異數拆解可知,股價指數的價格反應領先ETF,但在六期(日)後及歸於收斂,兩者亦有正向關係。 |
英文摘要 | This article uses daily closing price data of QQQ and iShare EWT listed in American Exchange (AMEX). To examine the process of the price discovery and market integration between ETF and stock index. From the result of Cointegration Model, it reveals that there has a long-term relationship between ETF and stock index. Two markets contribute a cointegration system. From the result of Error Correction Model (ECM), it represents that the stock index lead to ETF more stronger. In the short run, can know by impulse response analysis and variance decomposition analysis, the stock index lead to ETF. But the relationship will tend to convergence after six periods (days). |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。