Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/55587
標題: 多市場之ETF推薦系統追蹤美國 S&P 500 及 NASDAQ 100 指數
A Recommandation System in Multiple Markets Tracking S&Amp;P 500 and Nasdaq 100
作者: 巫亮全
關鍵字: 管理科學;應用研究
摘要: 
Exchange Traded Funds (指數股票型基金; ETF) 為一種兼具股票、開放式共同基金及封閉式共同基金特色的金融商品。它只需少數的研究人員和低廉的管理費用,對投資人而言成本相當的低廉,近幾年隨著金融國際化與自由化,世界各國的ETF 市場正在急速膨脹。Journal of Indexes 編輯 Wiandt (2008) 更表示,ETF 市場的情況已經發生了徹底的變化,其中尤其是美國,那斯達克市場 (NASDAQ) 和美國證券交易所這兩個ETF 市場上的領先者都亟需適應這一巨大的轉變。在此競爭之下,最為常見的策略之一就是提供更好的指數追蹤方式。ETF 這項商品包含了兩大特色,第一是其必須於集中市場掛牌交易,買賣方式與一般上市上櫃股票一樣,可做融資買進與融券放空策略,不管多頭或空頭都可投資。第二是所有的ETF 都有一個追蹤的指數,ETF 基金淨值表現必需在有限誤差限度內緊貼指數的走勢,也唯有兩者之間沒有大幅的折溢價情況,才是一檔成功的ETF。以往研究上對ETF 追蹤績效的處理方式是以公司權值為按相同比例納入ETF 追蹤,而未考慮其在不同動差下及風險趨避下的追蹤表現,因此常納入高標準差之個股而影響追蹤效果之穩定。常見者就是,在多頭市場下ETF 績效超越市場表現;而在空頭市場下ETF 卻又超跌。不論是哪一種情形,都大幅增加追蹤市場表現的誤差。本研究目的即是探討此ETF 追蹤市場績效時所產生的無法緊密貼近問題。根據文獻中各別討論的理論做連貫性的整合,本研究可補其過去研究上缺口,同時探討跨領域理論對解決本研究問題的可行性。對資料做多階段之處理,第一階段透過風險趨避準則理論排除準則外之股票,在第二階段則以資產偏度及Charnes & Cooper (1955) 多目標規劃求解達到追蹤誤差等目標極小化之個股投資比例,且在第三年部份研究高階動差對ETF 組合的影響。本研究之建構模式採用對世界金融中心之美國最大ETF (NASDAQ 100 與S&P 500) 同時做多市場的理論建立與驗測,這對目前積極發展ETF 產品的臺灣金融市場有實質上之研究價值。臺灣ETF 市場目前仍只有少數選擇 (如寶來和其他境外ETF),市場潛力巨大。且目前臺灣ETF 基金市場中之產品仍大部份以市值高低作為選取考量 (如交易量最大的寶來台灣50 ETF),致使在類股輪動、市場下跌時追蹤誤差變大且報酬率低於大盤。本研究所提出的新模式正可以為業界推出新產品時之參考。

An exchange-traded fund (or ETF) is an investment vehicle traded on stockexchanges, much like stocks. An ETF holds assets such as stocks or bonds and trades atapproximately the same price as the net asset value of its underlying assets over the courseof the trading day. Most ETFs track an index, such as the S&P 500 or NASDAQ 100.ETFs may be attractive as investments because of their low costs, tax efficiency, andstock-like features.In an ideal world, ETF investors would get exactly what they thought they werebuying. However, that is practically never the case. Index portfolios, no matter how wellrun, always suffer from some amount of "tracking error". Tracking error is the differencebetween the performance of a fund and the performance of its underlying index. How tolower the tracking error has been a major subject of the academic and the practitioners.In this study, we present a quantitative approach based on the finance field for ETFs.The paper contributes to the literature in two ways. For academics, we present originaldiscussions on combining an interdisciplinary financial model and operational researchmethod. Unlike the conventional approach used for ETFs, which requires a fund managerto actively buy and sell stocks to improve returns, our approach is based on historical dataand deduces subjective judgments. Meanwhile, for practitioners, we present an originaldiscussion on using an ETF financial system to support this issue. The results of anempirical survey of the S&P 500 and the NASDAQ 100 ETF market are also presented.
URI: http://hdl.handle.net/11455/55587
其他識別: NSC99-2410-H005-034-MY2
Appears in Collections:科技管理研究所

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