Forecasting the information content derived from volatility of Exchange Traded Funds.

• Main Authors: Tai-Ting Chen, 陳泰廷
• Other Authors: William T. Lin
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/74687301100336807749

碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 92 === In reviewing ETFs listed on exchanges around the world, we observe the following developments: average daily trading volume in ETFs has steadily increased and ETFs bringing above new investment opportunities. ETFs mentioned above include core equity holdings, sector and style plays, international diversification and portfolio hedging. The first ETF of Taiwan that is Taiwan Top50 Tracker Fund , which also listed on Taiwan stock exchange since 2003Q2. ETF is composed of both features of stock and index. This paper intends to examine the impact of introducing Standard and Poor’s 500 depository receipts (referred as SPDRs), and obtain new finding regarding information content of option price. And finally, the major empirical results are presented as follows: 1.SPDRs normally exhibits a volatility clustering phenomenon, thereafter, the asymmetric effects reinforces this effect. 2.VIX provides more accurate forecasts than either daily return or intraday return. 3.VIX, daily return and intraday return contain all the relevant forecasting information.