The Impacts of ETF Trading on Return Synchronicity of Underlying Stocks

• Main Authors: LAI,YUN-JU, 賴韻如
• Other Authors: CHEN,YU-FEN
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/mr955d

碩士 === 大葉大學 === 企業管理學系碩士班 === 107 === ETF is regarded as a part of the passive management funds. This study aims to explore whether ETF fund managers’ trading will impact the return synchronicity of the underlying stocks. Literature supporting the impacts of ETF trading on stock synchronicity indicates that the price information revealed by ETF trading is relatively low, which increases the return synchronicity of the underlying stocks. The thesis uses 19 ETFs launched by Taiwan financial institutions from 2003 to 2018 as the samples and establishes a standardized panel data regression to estimate the impacts of ETF trading on the return synchronicity of the underlying stocks. The results show that the return synchronicity decreases with the change of ETF trading. The passive ETF funds reveal less information regarding to the market and industry and more information of the company as ETF trading attracts more investors’ attention.