A Study on the Tracking Errors of Leveraged and Inverse Leveraged Exchange Traded Funds (ETFs): Evidence from Taiwan Market

• Main Authors: Tz-Ting Lee, 李姿葶
• Other Authors: Eliza Wang
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/69847k

碩士 === 國立臺北商業大學 === 財務金融研究所 === 104 === The paper examines the short-term performance and the determinants of tracking errors of the Leveraged Exchange Traded Fund (LETF) and Inverse Leveraged Exchange Traded Fund (ILETF) listed on the Taiwan Futures Exchange (TAIFEX). The two ETFs, the Yuanta Daily Taiwan 50 Bull 2X ETF and the Yuanta Daily Taiwan 50 Bear -1 ETF, are analysed from their inception dates to 2016/3/31. We classified the tracking error into two groups: net asset values (NAV) difference and inefficiency difference. By using ARMA(m, n) -GARCH (p, q) model, this study examines the determinants of these two differences. The result shows that the lag NAV difference has significant impacts on the NAV difference, whereas the lag valuation premium significantly affects the inefficiency difference. The fund turnover plays an important role in determining NAV difference, but not in inefficiency difference. In addition, the net fund flow has information content in market inefficiency difference of LETF. However, VIX has no explanatory power for tracking errors of LETF and ILETF. This study provides further insights into the evidence of the performance measurement of LETF and ILETF.