| Summary: | 碩士 === 中信金融管理學院 === 金融管理研究所 === 106 === In 1993, the SPDR S&P 500 ETF (Exchange Traded Funds) was launched in the United States, opening the prelude to the development of the ETF. The so-called ETF is a mutual fund that passively tracks the performance of an index. Investors do not invest directly in a basket of stocks in the traditional way. Instead, they invest indirectly through the beneficiary certificates that hold the equity of the underlying index.
The purpose of this study is both to compare the performance of the Taiwan 50 Index and the ChinaAMC China 50 ETF, and to explore the applicability of the illiquidity ratio – options method proposed in 2016 to measure the ETF liquidity in the two markets. This study uses Parkinson's extreme value method as the research basis, and adopts the simple regression method for empirical analyses. The results showed that the prediction of the liquidity measured by illiquidity ratio – options method between in-sample test and out-of-sample test was consistent, confirming that the illiquidity ratio – options method was a good tool for measuring liquidity, also showing that illiquidity ratio – options method is more appropriate to be adopted in Taiwan rather than in China, China still has room for improvement in applying this option method.
Furthermore, interviewees are generally familiar with China ETFs those are ever placed in Taiwan investment market, but most of them are less familiar with local ETFs in China. Also, interviewees generally agree with that the application of FinTech will promote the performance of professional managers on ETFs trading, and enhance a customer-oriented investment procedure to allow investors easily making decisions on ETF investments.
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