Study on the Performance of Tracking Errors–Evidence from the China A-Share ETF on TWSE
| Autor: | Chia-Ju Lee, 李佳如 |
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| Rok vydání: | 2016 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 104 The proportion of ETF investment in the domestic investment has been increasing year by year and A-Shares ETF has become one of the best ways for people to invest in China.ETF is generally evaluated based on the extent of tracking error. In this context, this study takes the daily data (from 2013 to 2015) of A-Shares ETF issued for a full year in Taiwan Stock Exchange Market as study object and explores its extent of tracking error and related influencing factors via the Vertical and Horizontal Regression Model. The study aims to help the investors to have an understanding of the tracking error of A-Shares ETF which can be used as future references for the selection of ETFinvestment. The empirical study findings can be concluded as follows: 1) the tracking error of the index return of the study object and the replication object is very small and close to 0 under the Significance Level of 1% which shows an excellent tracking performance; 2) there is a significant negative correlation between the market value size and tracking error, and a significant positive correlation between the market volatility and tracking error, while the impact of trading volume on the tracking error is not significant; 3) the Crash of A-Shares in 2014 indeed has a significant impact on the tracking error. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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