| Summary: | 碩士 === 大葉大學 === 管理學院碩士在職專班 === 107 === In this study, we focus on five blue chip ETF shares including Yuanta P-shares Taiwan Top 50 ETF, Yuanta/P-shares Taiwan Dividend Plus ETF, Yuanta Taiwan High Dividend Low Volatility ETF, Fubon TWSE Corporate Governance 100 ETF, and Mega Taiwan Blue Chip 30 ETF and use weekly returns data over the period of October 6, 2017 to March 8, 2019.
The findings reveal that negative earnings referred to weekly excess returns on both the five blue chip ETFs and TAIEX are realized and the returns are inferior to 1-week time deposit rate issued by Bank of Taiwan. Hence, the market timing ability of the five ETFs certified by Treynor and Mazuy (1966) model and Henriksson and Merton (1981) model is insignificant.
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