The studies on ETF’s investor structure and volume factors-Polaris Taiwan Top 50 Tracker Fund

• Main Authors: Pei-Shan Tsai, 蔡佩珊
• Other Authors: 邱顯比
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/14384841814042650763

碩士 === 國立臺灣大學 === 財務金融學研究所 === 100 === The main purpose of this research is to investigate the investor structure, the persistence of the premium/discount, and determinants of ETF volume of the Polaris Taiwan Top50 Tracker Fund, which is the first ETF in Taiwan. I find that: (1) individual investors account for a similar percentage with the institutional investors of the trading volume in Polaris Taiwan Top50 Tracker Fund; (2) stock dealers’ trading volume dominate the institutional investors’ trading volume due to the market making obligations; (3) it was discovered that the discount/premium phenomenon will continue for more than one trading day, but the phenomenon is less significant during the sample periods; (4) I find a positive and statistically significant relationship between trading volume and the market volatility, weekly high price and weekly low price. However, my results are somewhat different from those of Elton et al. with regard to the lagged deviation from net asset value. They find a positive and statistically significant relationship between trading volume and this variable. In my study the variable are only statistically significant in the third subperiod.