歐債危機是否會影響台灣股市?以台灣指數股票型基金為例;Does Europea debt crisis affect Taiwan stock market?-Evidence from Taiwan Exchange-traded funds

NCUIR > School of Management at National Central University > Executive Master of Finance Management > Electronic Thesis & Dissertation > Item 987654321/68504

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Title:	歐債危機是否會影響台灣股市?以台灣指數股票型基金為例;Does Europea debt crisis affect Taiwan stock market?-Evidence from Taiwan Exchange-traded funds
Authors:	陳品捷;Chen,Pin-chieh
Contributors:	財務金融學系在職專班
Keywords:	指數股票型基金;追蹤誤差;歐債危機;ETFs;tracking error;European debt crisis
Date:	2015-07-13
Issue Date:	2015-09-23 11:57:30 (UTC+8)
Publisher:	國立中央大學
Abstract:	本文主要藉由台灣五檔不同類型的指數股票型基金(ETF)分析其在歐債危機期間與非歐債危機期間之績效表現是否會存在差異，以及不同類型之ETF的績效表現是否也會存在明顯的差異。利用傳統的績效評估指標與以追蹤誤差為基準的評估方法進行實證分析，研究結果發現，在傳統的績效指標評估方面，顯示ETF的績效表現是存在差異，ETF的類型會影響到ETF的報酬績效表現，且歐債危機期間與非歐債危機期間的ETF績效表現存在顯著的差異。在以追蹤誤差為基準的評估結果方面，ETF在追蹤標的指數之能力的績效表現會因歐債危機發生而有明顯的差異，且不同類型的ETF也會影響到追蹤指數之效率(追蹤誤差)的表現。;Focusing on the Taiwanese Exchange-Traded Funds (ETFs), this thesis mainly analyzes whether the performance of ETFs changes during the period of European debt crisis. To evaluate the performance, we use traditional performance indicator and tracking error examine five ETFs listed in Taiwan stock market. The results show that with the traditional performance indicator, the performance of ETFs changes in the European debt crisis period. ETFs performances also differ by type. The results based on tracking error show that the tracking ability differs between the sub-sample period of European debt crisis and non-European debt crisis. The tracking errors also differ by the type of ETFs.
Appears in Collections:	[Executive Master of Finance Management] Electronic Thesis & Dissertation

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