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系統識別號 U0026-2101201422530600
論文名稱(中文) 新興市場與成熟市場中ETF之價格發現與訊息傳遞之研究
論文名稱(英文) Price discovery and information efficiency of ETFs between emerging markets and mature markets
校院名稱 成功大學
系所名稱(中) 財務金融研究所碩士在職專班
系所名稱(英) Graduate Institute of Finance (on the job class)
學年度 102
學期 1
出版年 103
研究生(中文) 張毓欣
研究生(英文) Yu-Hsin Chang
學號 R87001082
學位類別 碩士
語文別 中文
論文頁數 79頁
口試委員 指導教授-黎明淵
口試委員-王澤世
口試委員-劉裕宏
中文關鍵字 指數股票型基金  向量自我迴歸模型  Granger因果關係檢定  向量誤差修正模型 
英文關鍵字 Exchange traded fund  Vector autoregression modal (VAR)  Granger Causality test  Vector error correction modal(VECM) 
學科別分類
中文摘要 本研究主要探討新興市場與成熟市場中,其ETF在各國當地的證券交易所交易,以及在美國的證券交易所交易時,其價格發現與訊息傳遞的過程。南非、墨西哥、中國、台灣這4個國家作為新興市場的代表,另外選取加拿大、日本、英國及瑞典這4個國家作為成熟市場的代表。研究方法包含單根檢定、向量自我迴歸模型檢定(VAR)、Granger 因果關係檢定、衝擊反應分析、共整合檢定以及向量誤差修正模型檢定(VECM)。實證期間從2008年7月1日到2012年12月31日。
在向量自我迴歸模型下,發現短期關係中,不論是成熟市場國家或是新興市場國家,在美國交易的各國ETF都較各國在國內交易的ETF訊息傳遞速度快。在Granger因果關係檢定中發現南非、日本、中國與英國呈現單向領先的關係,在美國交易的ETF會Granger影響在當地交易的ETF,加拿大、墨西哥、瑞典及台灣呈現雙向領先的因果關係。在衝擊反應分析中,日本、瑞典、台灣不管衝擊反應來自當地或美國,在美國交易的ETF與在當地交易的ETF訊息傳遞的速度一樣快;加拿大、墨西哥不管衝擊反應來自當地或美國,在美國交易的ETF較在當地交易的ETF訊息傳遞速度快;而南非、中國、英國則是衝擊反應來自不同市場時,兩邊的ETF訊息傳遞的速度不一樣。
在向量誤差修正模型下,發現長期關係中,在新興市場國家,當地交易的ETF價格會領先在美國交易的ETF價格;在成熟市場國家,在美國交易的ETF價格會領先當地交易的ETF價格。
英文摘要 This study investigates price discovery and information transformation of ETFs between emerging markets and mature markets. South Africa, Mexico, China and Taiwan are representative of emerging markets. Canada, Japan, United Kingdom and Sweden are representative of mature markets. We use unit root test, vector autoregression modal (VAR), Granger causality test, impulse response function, cointegration test and vector error correction modal (VECM) as methodology. The study period covers four and half year form July 1st 2008 to December 31 2012.
Under VAR modal, ETFs which is traded in US leads ETFs which is traded in domestic country in the short run. By applying to Granger causality test, the interrelationship between ETFs which is traded in US and which is traded in domestic country is bi-directional in Canada, Mexico, Sweden and Taiwan. However the interrelationship between ETFs which is traded in US and which is traded in domestic country is unidirectional in South Africa, Japan, China and United Kingdom.
No matter where the impulse response come from, the information transformation is the same in Japan, Sweden and Taiwan. However, no matter where the impulse response come from, the information transformation is better in US than in domestic country in the case of South Mexico and Canada.
In emerging (mature) market, the tendency to correct disequilibrium situation depends on ETFs which is traded in domestic country (US).
論文目次 第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 4
第三節 章節架構 5
第二章 文獻回顧 6
第一節 價格發現效果 6
壹、 交易成本假說 6
貳、 市場資訊假說 7
參、 槓桿假說 8
肆、 其他影響市場因素 8
第二節 不同市場之間的價格發現效果 8
壹、 價格發現效果在全球中心(global center)市場 9
貳、 價格發現效果在國內市場(home market) 9
參、 價格發現效果是雙向的 11
第三章 研究方法 13
第一節 資料來源 13
第二節 研究流程 13
第三節 研究方法介紹 16
壹、 單根檢定(unit root test) 16
貳、 共整合檢定(cointegration test) 18
參、 誤差修正模型(vector error correction model, VECM) 19
肆、 向量自我迴歸模型(vector autoregression model,VAR) 20
伍、 Granger因果關係檢測(Granger causality test) 21
陸、 衝擊反應函數(impulse response function) 23
第四章 實證結果分析 25
第一節 資料說明 25
壹、 ETF簡介 25
貳、 各國ETF與大盤的相關係數分析 28
參、 資料庫代碼及變數定義 31
第二節 實證結果 32
壹、 單根檢定 32
貳、 敘述性統計表 37
參、 相關係數矩陣 39
肆、 估計VAR最適落後期數 40
伍、 向量自我回歸模型估計(Vector Autoregression Estimates,VAR) 42
陸、 Granger 因果關係檢定 46
柒、 衝擊反應函數(impulse response function) 49
捌、 共整合關係檢定(cointegration test) 56
玖、 估計VECM最適落後期數 59
壹拾、 誤差修正模型估計(vector error correction model, VECM) 60
第五章 結論與研究建議 74
第一節 結論 74
第二節 研究限制與後續研究建議 76
參考文獻 77
中文文獻 77
英文文獻 77
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