Summary: | 碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 103 === This paper analyzes the tracking performance of 15 ETFs listed in Taiwan Stock Exchange. The sample period extends from January 30, 2003 to September 30, 2014.
The known costs including management fees, custodian fees, transaction fees, transaction tax and other fees are been added back in tracking performance analysis. The research use Panel Data’s Regression adding factors including cash dividends, redemption units, volatility and turnover rate and replication methods of ETF to analyze.
The empirical result indicates that constituent stock dividend and ETF cost are not only factors from tracking difference. The benchmark turnover, volatility, futures of portfolio and others net income send significant signals to tracking difference. In addition to this period of dividends and fund size and replication methods factors also send significant signals.
|