A Study on the Lead/Lag Relationship among Taiwan’s Exchange Traded Fund

• Main Authors: YANG,YUN-CHUN, 楊昀純
• Other Authors: YANG,CHIEN-WEI
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/38738804344710141068

碩士 === 國立雲林科技大學 === 財務金融系 === 104 === ETF for the passive management of goods, mainly to follow the movement of the Index may be, for this paper, the relevance and effectiveness of the transfer of information between the Taiwan stock market ETF, intended to be the basis of the portfolio, to identify lead lag relationship. Due to the efficiency of information delivery, often with the size of the market value of the company over the net, PE, effect hypothesis and debentures Balance effect hypothesis theory are closely related. So this paper presented here several important hypotheses to verify transfer efficiency of these ETF information, namely Information effect hypothesis、Price-book ratio hypothesis、Size effect hypothesis、Margin effect hypothesis。 The study period for the information of the days ended March 26, 2012 to March 25, 2016. The empirical results that, during this study of selected, data showed positive, it can be deduced in a bull market pattern. Rate of return to ETF53 maximum (0.0307), is the largest reward; standard deviation ETF56 minimum (0.007038), which represents the minimum amplitude. In Granger causality test in accordance with the data presented be arranged behind the leading relationship ETF50 → ETF55 → ETF56 → ETF53 → ETF51. In addition, investors can not be entirely to the four hypotheses of this study is to determine lead lag relationship, but if investors believe the market has the effect of Margin effect hypothesis, The ETF50 leading ETF 55, ETF 55 leading ETF56, ETF56 leading ETF 51 would be more efficient；If we believe that the market has the effect of Size effect hypothesis and Information effect hypothesis, as well as the ETF50 leading ETF56 ETF55 leading ETF51 more efficient. Impulse Response Analysis, a unit of standard deviation change impact, ETF and no consistent change in the direction of the trend in the long run, can find its changes will gradually converge to the long-term equilibrium point or 0 state, shares were short-day period rapid response, show the opportunity to invest in people, although short-term arbitrage exists, but in the long term arbitrage is not easy