探討流動性與ETF折溢價之關聯性

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姓名

柯孟辰(Meng-Chen Ko) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

探討流動性與ETF折溢價之關聯性
(The Relationship between Liquidity and ETF Premium/discount)

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摘要(中)

指數型基金 (Exchange traded fund, ETF) 以相對低廉的管理費用、較高的透明度與流動性讓投資人能夠間接地持有一個包含眾多資產的投資組合 (portfolio) 或選擇偏好的投資風格 (style) 。然而ETF的價格並非總是與其淨資產價值相同，本研究旨在探討流動性是否會影響ETF的價格與淨資產價值偏離的程度，並分析流動性對於ETF折溢價方向及大小之影響是否與投資者情緒有關。本文以2007至2020年所有在美國上市的ETF為研究樣本，發現流動性越好的ETF具有越高的溢價程度，而且對於當年平均流動性較高、基金發行天數較長、基金規模較高、投資目標為股票及國內證券的ETF而言該效果更加顯著。此外在面臨較低迷的投資者情緒時，投資人會降低對資產的願付價格，因此ETF的流動性溢酬降低，顯示流動性對於ETF的影響會因投資人情緒的高低而異。

摘要(英)

Exchange traded funds (ETFs) provide investors a means to achieve the purpose of portfolio diversification or investment styles with relatively lower management fee, higher transparency and higher liquidity. However, recent literatures show that the ETF prices may deviate from their net asset values (NAVs) due to many cross-sectional factors. This thesis aims to investigate whether liquidity could explain the direction or the magnitude of the ETF premium/discount, as well as the relationship between the two may vary under different investment sentiments. Using the data of all ETFs listing in the U.S. from 2007 to 2019, the empirical results show that the ETFs with higher liquidity tend to have higher premium, and the effect is more pronounced when ETFs are more liquid, older, with larger size or investing in domestic securities or stocks. Further robustness tests show that low investment sentiment would reduce investors’ willingness to pay to the asset price, which also lowers the liquidity premium and ETF premium.

關鍵字(中)

★ 指數型基金
★ 折溢價
★ 流動性
★ 流動性溢酬
★ 投資者情緒

關鍵字(英)

★ Exchange traded funds
★ ETFs
★ premium/discount
★ liquidity
★ liquidity premium
★ investor sentiment

論文目次

中文摘要 i
英文摘要 ii
誌謝 iii
目錄 iv
表目錄 v
圖目錄 v
第一章緒論 1
第一節研究背景與動機 1
第二節研究目的 2
第二章文獻回顧 4
第一節 ETF特色與折溢價形成機制 4
第二節 ETF折溢價影響因子 5
第三節流動性的重要性與ETF之間的關聯 7
第四節小結 9
第三章假說建立 10
第一節流動性與ETF折溢價的關聯性 10
第二節流動性與ETF折溢價隨時間變化的關聯性 10
第四章資料與研究方法 12
第一節樣本選擇及資料來源 12
第二節關鍵變數定義 13
第三節實證模型 17
第五章實證結果與分析 20
第一節敘述性統計與相關性分析 20
第二節流動性與ETF折溢價的關聯性 22
第三節流動性與ETF折溢價隨時間變化的關聯性 27
第四節穩健性測試 27
第六章結論 31
參考文獻 32

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指導教授

高櫻芬(Yin-Feng Gau)

審核日期

2021-6-7

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