The Performance and Investment Selection of Greater China ETFs Listed in Taiwan Stock Exchange

• Main Authors: Liao, Ting Yu, 廖庭玉
• Other Authors: Chu, Hau Min
• Format: Others
• Language: zh-TW
• Online Access: http://ndltd.ncl.edu.tw/handle/47283177017676694526

碩士 === 國立政治大學 === 金融研究所 === 103 === The proportion of the ETFs trading volume keeps increasing in Taiwan Stock Exchange market, having accounted for 1.88% in the overall market until December, 2014. Also, the average turnover rate of the ETF market over the past five years is 235%, indicating the investors’ increasing keenness on ETFs. Shanghai-Hong Kong Stock Connect has opened China’s capital market to the world. With the comprehensive easing plan of capital markets and the government’s overall macroeconomics policies, China’s stock market has risen fast. International capitals kept pouring into Hong Kong and China, and the global allocation funds also increased their allocation ratio to China’s capital market. The ETFs listed on Taiwan Stock Exchange which are linked to the China stock indexes have been performing best since early 2015. Therefore, the purpose of this thesis is to evaluate the performance of the greater china ETFs listed in Taiwan Stock Exchange through Sharpe ratio, Beta coefficient, and Jensen’s Alpha. Also, the premium or discount the risk and tracking errors are taken into considerations. As for the performance evaluation, Fubon SSE180 ETF(006205) is the best-performing fund. The trend of the ETFs’ net asset value is consistent with their benchmark indexes. No significant tracking errors exist in the ETFs. Due to the liquidity risk and market risk, Hang Seng H-Share Index ETF(0080), Hang Seng Index ETF(0081), and W.I.S.E-SSE 50 China Tracker(008201) have significant discount risk.