| Summary: | 碩士 === 逢甲大學 === 財務金融學所 === 99 === The ETFs of Taiwan and Hong Kong are approved by both governments to be cross-listed on both stock exchanges in 2009. It is a major improvement in the internationalization and diversification of investment instruments in Taiwan security market. This study examines the information transmission and the price linkages of ETFs between Taiwan and Hong Kong markets. In addition to the basic time series tests (Unit root tests, cointegration tests, auto-correlation tests, and heteroscedasticity tests), the two-stage multivariate GJR-GARCH models are used to explore the spillover effects of volatility and mean returns among Hang Seng H-Share Index ETF, Hang Seng Index ETF, W.I.S.E. Polaris CSI 300 ETF listed on Taiwan Stock Exchange, and their corresponding ETFs listed on Hong Kong Stock Exchange. The empirical results of the study show that the impact of volatility and expected returns of Hang Seng H-Share Index ETF, Hang Seng Index ETF, and W.I.S.E. CSI 300 China Tracker listed in Hong Kong on their counterparts listed in Taiwan are significant. It will provide additional information to Taiwanese investors and affect their investment decisions.
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