頁籤選單縮合
題 名 | The Tracking Error and Premium/Discount of Taiwan's First Exchange Traded Fund |
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作 者 | 林恩從; 周智仁; | 書刊名 | 中華管理評論 |
卷 期 | 9:3 2006.11[民95.11] |
頁 次 | 頁(4)1-(4)21 |
分類號 | 561.76 |
關鍵詞 | Exchange traded fund; Tracking error; TTT discount/premium; Volatility; Net asset value; |
語 文 | 英文(English) |
英文摘要 | With its pioneering role in Taiwan and the enormous global popularity of ETFs, it is imperative to conduct a broad examination of the TTT, Taiwan’s first ETF. Building upon previous studies, this research attempts to investigate: (1) the characteristics and formation of tracking errors of the TTT, (2) the underlying factors which influence the premium/discount of the TTT, and (3) the pricing factors of the TTT’s return and trading volume. Interesting conclusions are reached. First, the tracking error of the TTT is mainly constituted by its cash dividends, whose impact became so obvious in the peak dividend payout season. Second, the management expenses are identified as the main factor causing the gap between two different tracking error series. Third, the effect on TTT tracking errors of stock replacement operations is documented. It is evident that there are three apparent shocks, signaling potential arbitrage opportunities. Nevertheless, this arbitrage potential is deemed limited and the duration is short. Finally, the multivariate model shows that the TTT discount/premium could be attributed to its own volatility and market return. And the return of the TTT is highly correlated with the general stock market movements and its arbitrary opportunity. However, the trading volume of the TTT is merely affected by its own price volatility. |
本系統中英文摘要資訊取自各篇刊載內容。