An Empirical Study on the Lead/Lag Relationshipamong Taiwan’s Exchange Traded Funds’ Returns

• Main Authors: Chien-Cheng Wang, 王見成
• Other Authors: Jack J. W. Yang
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/12399718778540111370

博士 === 雲林科技大學 === 管理研究所博士班 === 97 === This paper explores the lead/lag relationship for exchange traded funds’ returns in Taiwan thru vector autoregressive(VAR) model. We test the five supposed hypotheses：(1) size, (2) dividend, (3) market-to-book ratio, (4) price-to-earnings ratio and (5) information effect. It is clear that each of the average returns has a negative positive position, in other words, the financial market does not represent a good situation. Furthermore, when comparing volatility and returns among them, it is clear that ETF50 still has the smallest volatility and negative returns. According to the F-statistic of Granger causality tests, ETF50 is the first leading series among them. The next sequence is ETF51, whilst the third sequence is ETF56. Finally, the last sequence is ETF52. ETF50 is mostly influenced by its own innovations. Further, ETF50 is the least affected by external forces. By the conception of cointegration, we demonstrate that vectors will not wander far from each other in the long-run relationship. Our results indicate these supposed hypotheses do not coincide with empirical results. But, There are two things that are notable. Firstly, an empirical result is the same with null hypothesis of size effect. ETF56 leading ETF52 is consistent with size effect. Secondly, two empirical results are consistent with null hypothesis of market-to-book ratio effect. The ETF50 leads ETF51 and ETF51 leads ETF56, which are consistent with market-to-book ratio effect. The size effect is less favorable than market-to-book ratio effect. Consequently, such information spillovers may be capable of promoting trading interest on the lead/lag relationship.