查詢結果分析
來源資料
相關文獻
- 臺灣50指數股票型基金之追蹤誤差與定價效率
- 臺灣、香港、中國大陸三地ETF追蹤誤差之研究
- Mini Index Futures: Information Impacts, Relative Pricing, and Arbitrage Opportunities in the Least Frictional Markets
- 上証指數ETF的訂價效率與價格發現
- 運用類神經網路於股價指數之套利--以日經225指數為例
- 淺談股價指數期貨套利
- 摩根臺股指數期貨的市場效率與套利機會之研究
- 簡述換股權利證書之套利
- 以特徵觀點對無套利市場均衡下預售屋價格評估模式之探討
- 新式資本適足性架構、資本協定衝擊與監理資本套利
頁籤選單縮合
題名 | 臺灣50指數股票型基金之追蹤誤差與定價效率=Tracking Error and Pricing Efficiency of the Taiwan 50 ETFs |
---|---|
作者 | 林允永; 謝文良; Lin, Yun-yung; Hsieh, Wen-liang; |
期刊 | 財務金融學刊 |
出版日期 | 20090600 |
卷期 | 17:2 2009.06[民98.06] |
頁次 | 頁1-34 |
分類號 | 563.54 |
語文 | chi |
關鍵詞 | 指數股票型基金; 追蹤誤差; 定價效率; 套利; ETFs; Tracking error; Pricing efficiency; Arbitrage; Taiwan; |
英文摘要 | The article investigates the tracking performance and pricing efficiency of the Taiwan 50 tracking funds (TTT)- the first exchange-traded-fund in Taiwan. We decompose the discrepancy between the NAV return and return of the target index into four components. Results show that a large portion of tracking error can be attributable to the cumulative cash dividends. Other components of tracking error, including management fee, dividend reinvestment, and index replication error, contribute less to the TTT tracking error. It should be noted that the index replication error tends to enlarge as cash dividends are disseminated, indicating that a more sophisticated portfolio rebalancing is needed at time of TTT dividend payout. Pricing efficiency of TTT is measured by the intraday deviation of market prices from the NAVs, taking the transaction costs and potential execution delay into account. Both ex-post and ex-ante analysis support the general pricing efficiency of the TTT market. Large price deviations, although rarely occurring, tend to persist for a longer time and provide higher arbitrage profits. Regression analysis further shows that the mispricing and arbitrage opportunities are positively related to market volatility and TTT volume: and negatively related to the degree of market maturity. Results suggest that the pricing efficiency of TTT is maintained by frequent and prompt arbitrage activities. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。