The Impact of Margin and Day Tradings on ETF Risk

• Main Authors: WU, YEN-HUNG, 吳彥宏
• Other Authors: CHEN, SHENG-HONG
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/63kw95

碩士 === 南華大學 === 財務金融學系財務管理碩士班 === 106 === 　　This paper is mainly collected from the Taiwan Economic Times Newspaper Database (TEJ) from January 1, 2015 to December 31, 2017, including the return rate of ETF issued by Taiwan, the shareholding ratio of institutional investors (covering: foreign investment, self-employed, Investment trust, etc.), the ratio of financing and margin financing, the same day offset ratio and other information as the research object. This thesis uses both ARCH and GARCH models as research methods to explore the impact of ETFs on risk under investor financing and margin financing. Empirical Results Support for Enterprise Loan Costs Will Decrease Empirical Results Because Less-Competitive Product Markets Support institutional investors' higher shareholdings will significantly reduce ETF volatility, and secondly, as the ratio of financing and margin raising increases Exacerbate the volatility of ETFs, especially when the write-off rate is high on the day