The Exchange Traded Fund’s Tracking Error Analysis- Empirical Research on China Stock Index ETF performance

• Main Authors: Yung-Hsiang Lu, 盧永祥
• Other Authors: 林蒼祥
• Format: Others
• Language: zh-TW
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/9z4uu8

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 including Tracking Error and Tracking Difference of 23 ETFs that ETFs benchmark are China stock index listed in Shanghai, Shenzhen, Hong Kong and Taiwan Stock Exchange.The sample period extends from November 29, 2004 to September 30, 2014. The known costs including management fees, custodian fees, transaction fees, transaction tax and other fees are been added back as well as also consider exchange rate changes in tracking performance analysis. The research use Panel Data’s Regression adding factors including cash dividends, redemption units, volatility and turnover rate as well as divide different markets and replication methods of ETF to analyze. The empirical result indicates that fx and ETF cost are not only factors from tracking difference. The benchmark turnover, volatility, constituent stock dividend and shares net change send significant signals to tracking difference. In addition between listing China stock exchange and listing non China stock exchange, others net income send significant signals of listing China stock exchange. Between full replication ETF and synthetic ETF, shares net change also send significant signals of replication ETF.